Items you need:
Find a tight-fitting sock.
Using a pair of scissors, cut off the tip of the sock. The opening should be wide enough to put your arm through but narrow enough to offer a tight fit.
Slide the sock over your arm and then fold the bottom half up toward your shoulder so that it forms a slim pocket for your iPhone.
Optional: You can make the iPhone more secure by pulling the sock over the top of the iPhone (so that it’s not exposed) and then cutting a slim hole to attach your 1/4″ earbud plug into the headphone jack.