FoxerFX wrote:Short 100K EUR/USD

Short 100K USD/CHF

Long 100K EUR/CHF

if you will open above positions you will have exposure on USD currency and you arb portfolio will not be hedged and P/L of this potfolio will not move from -1 to +1

It's not the P/L but the fractional product that's wiggling around the mean value. Also, there are four different ways on how to calculate FPI and each of that will produce a different set of product values.

Michal