NO.PZ2016031201000016
问题如下：
An arbitrage opportunity is least likely to be exploited when:
选项：
A.one position is illiquid.
B.the price differential between assets is large.
C.the investor can execute a transaction in large volumes.
解释：
A is correct.
An illiquid position is a limit to arbitrage because it may be difficult to realize gains of an illiquid offsetting position. A significant opportunity arises from a sufficiently large price differential or a small price differential that can be employed on a very large scale.
中文解析：
题目问的是难以实现套利的情况
A选项中流动性不足是对套利的限制，流动性不好，交易成本会很高，就算有价差，套利也很难实现收益，因此选择A。
交易量大就有套利机会，感觉很牵强啊。A说一个头寸缺乏流动性，那如果另一个头寸流动性好，不就存在套利机会吗？比如现货缺乏流动性，期货好，才能套利。另外，一个头寸是个啥意思，指的是交易的一方吗？对头寸的理解，总是很抽象，可否也解释下。
