This comes from the British game of cricket, and refers to the bowler who takes three wickets in three balls. If you did this in the 1800's, you were sometimes given a hat by your team.

Or, it could be that the guy gets to wave his cap around.

In either case, the term was first recorded in ink during the 1870s, and its usage has grown, referring to pretty much three of anything w/r/t sports.

In hockey, as in other sports such as football (soccer), a hat trick occurs when one player scores 3 goals in 1 game. A natural hat trick is when the player scores these 3 goals consecutively. If a player scores one goal, one assist, and gets into one fight, that is called a "Gordie Howe hat trick," after the hockey legend Gordie Howe, who was more than just a goal scorer! In hockey games, when a player scores a hat trick, the fans will often litter the ice with their hats to show their appreciation.

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