This. Arbitrage is all about execution speed. Free-money by definition is scarce. Assume you just sold the put and need to buy the call on the other side, some

This. Arbitrage is all about execution speed. Free-money by definition is scarce. Assume you just sold the put and need to buy the call on the other side, some one else may buy that cheap call and the next block of call's might be more expensive and force you to eat a loss on your trading. In options market, some brokers allows you to do a multi-leg execution although the execution might be poor and oftentimes you might just get the market price. A safer way to play sports betting is do a rebate arbitrage which is to find bookmakers with two different lines in really close games and ensure that you just break even. Most bookmakers have a 10% bonus that you could cash out if you bet more than 10 times (bonus for being a liquidity provider a la the stock exchange), but it's more tedious and you have to deal with parking your money in the Cayman Island's due to US ban on online sports betting.