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When $C+PV(K) \ne P + S_0$, it's an opportunity for risk-free arbitrage (excluding cost).

In practice, what potential risk could make the arbitrage fail?

I know that failure to build complete arbitrage portfolio due to lack of liquidity of call, put or underlying security could be one. What else could it be?

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Financing Risk

e.g. You sell the stock short and buy the Call and sell the Put. Lets say you can only get a 1w repo borrow on the stock yet your options are 3m options. You have the risk after that week is up, that the stock goes special, so your financing costs erode the arbitrage. Similarly the Fed could cut causing your financing assumptions to change, and depending the term of the repo that could impact your arbitrage.

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