Place the lamb on a rimmed baking sheet lined with foil. Make the marinade: Combine 2 tablespoons mustard, the white wine, garlic, 1 teaspoon salt, 1/2 teaspoon pepper and the thyme in a bowl. Pour over the lamb, then cover the lamb with plastic wrap and place in the refrigerator to marinate for a few hours or overnight, turning the lamb from time to time.
Preheat the oven to 425 degrees F. Remove the lamb from the marinade and place fatty-side up in a roasting pan fitted with a rack (reserve the marinade). Season on all sides with salt and pepper and rub with the olive oil. The bone should be elevated off the bottom of the pan; this will allow for more even roasting.
Place the roasting pan in the center of the oven and roast 25 to 30 minutes. Reducethe oven temperature to 350 degrees F and continue roasting until an instant-read thermometer inserted into the thickest part registers 140 degrees F, 50 minutes to 1 hour 20 minutes more. (I usually count between 12 to 14 minutes total roasting time per pound of meat, including the weight of the bone.) Remove from the oven and let the roast rest fat-side down on a cutting board to help redistribute the juices, about 30 minutes. Save the pan drippings.
Meanwhile, make the gravy: Scrape the browned bits from the bottom of the roasting pan; transfer the drippings to a small saucepan. Add the reserved marinade, the sherry and the remaining 1 tablespoon mustard and bring to a boil; cook over medium-low heat, whisking, until thick, about 5 minutes. Transfer to a gravy boat. Slice the lamb against the grain and serve with the gravy.