I encountered this issue, and used the function proposed by Qifeng Chen.
This worked very well in 2015a.
However, since upgrading to 2015b my code reports a transparancy violation again. The release notes state that transparancy is now enforced more strictly, however all variables that I attempt to save either appear as inputs in expression in the parfor loop, or are the results of calculation in the parfor loop so I think this may be a bug.
Further to this, the affected function seems to be inputname(). The simplest (and probably fastest) way to work round this is to add all variables to a single structure variable, and then save that with a fixed name:
function parsave_simple(fname,C )
however, this would have been a lot of surgery in my case, plus other code expects the variables not to be in structure format. So the 'minimal surgery' option in my case is simply to pass the names of variables into the function via a cell array:
for ii___ = 2:numvars___
This method seems a bit messy, there is a performance overhead to calling 'eval' and some very hard to trace bugs will arise if names do not match the actual variables. Also note the use of strange var names to ensure eval does not overwrite any internal logic! But on the other hand, it only needs one extra line in the calling loop to populate the names variable.