This is the point of the strategy. Whenever they diverge for whatever reason, assume it's temporary and that they'll reconverge. Make money converging them.
Exchange 1: 1000 Exchange 2: 900
You sell 1 of exchange 1 and buy 1 of exchange 2.
Scenario 1: Exchange 2 rises to meet exchange 1, exchange 1 stays stable. You make $100 as you bought exchange 2 at 900 and its price is now 1000. You lose nothing on exchange 1 since the price hasn't changed.
Scenario 2: Exchange 1 falls to meet exchange 2, exchange 2 stays stable. You make $100 as you sold exchange 1 at 1000 and its price is now 900. You lose nothing on exchange 2 since the price hasn't changed.
Scenario 3: Exchange 1 rises to 1100 and exchange 2 rises to meet it. You make $200 as you bought exchange 2 at 900 and its price is now 1100. You lose $100 as you sold exchange 1 at 1000 and its price is now 1100. The ultimate profit is $100.
The important thing is that you trade both sides.
One need to also consider order books not just the price difference (I also have a chart! [2]). Price difference may be 10% but there may be 0.01BTC in order book within that difference. Or if you just look at the price of the last trade, there may actually be nothing in order book to arbitrage against.
There may be some window to make money when there are really big price changes and basically those who do the arbitrage run out of money on one side (fiat is slow to move). But then you have to deal with high volatility.