You are assuming the person doing this has not also bought puts against the gold sufficient to cover the long position. There is no such thing as "not taking a

You are assuming the person doing this has not also bought puts against the gold sufficient to cover the long position. There is no such thing as "not taking any risk" or a "risk free" investment. The idea that arbitrage is without risk is, kinda amusing, if you think about it. Even buying the put options I described to protect the position involves risk, though it does reduce the level of risk dramatically.