[davidmanescu]

Silver's forecasts do predictably change, more precisely in that they swing deterministically in favour of one candidate whenever the most recent poll to come in favours that candidate heavily.

Each time the probability drops below 40% (in your example) it is likely because the fair odds swung in the latest polls. To attempt to take advantage of this is to ignore the recent evidence (conditional upon that evidence being quite different to the current concensus).

It's not at all unreasonable to do so, but isn't arbitrage. What if all polls started being increasingly conclusive leading up to election? 40, 39, ..., 0. No surprises and no arbitrage.

Perhaps another way to express this critique of Silver's methodology is that it lends too much weight on recent outlier observations? Sure if you knew this you could profit off these swings, but making the arbitrage argument doesn't add much to the discussion to my mind.