As Jimmy walks Lucky down the stairs at gunpoint, Lucky starts trying to bargain. He says to tell Nucky he'll "call off the D'Alessios" and cut Nucky in on whatever deal he's got going on. Before Jimmy can ask what this all is about, they turn a corner and run straight into Van Alden and Sebso. Timing! The G-Men draw their guns, getting Jimmy to drop his, and Van Alden makes his arrest. Luciano is laughing his ass off at this rather miraculous turn of events.
Back in Nucky's office, the Mayor is whining about this Fletcher guy and how he's got posters up all over in July. Nucky tells Halloran to scour the city for Fletcher's placards and order them taken down. "Can we do that?" Halloran asks. Nucky snaps that they can do whatever they want! The Mayor asks when Eli is coming back, and Halloran notes that his stitches opened up again, so it could be another month -- "He leaves a big void," he notes. Nucky is irked that he's talking about Eli like he's dead, but this isn't just Halloran being a doofy moron. This is Halloran angling to be made sheriff. Nucky's like, "Fine, you're sheriff," which Halloran takes far more solemnly than Nucky does. "I want you to know," he says, "that I'm here for you now and in November." Nucky wants to know what that means, so Halloran basically says that with Eli laid up and in no condition to run, he might stand the best chance at getting elected. Nucky looks weary that he's going to have to make such a call.
Jimmy's being interrogated, and his story for Van Alden is that he was at the picture show the night of the robbery. Van Alden asks specific questions about the movie to get Jimmy to trip up, but Jimmy stonewalls. So what if Jimmy's saying he spent four hours at a 78-minute film? Jimmy just fell asleep, is all. Van Alden also tries to get Jimmy off-balance by asking about his "out of wedlock" child and whether Angela is somehow unfit to marry. It's maybe working, because Jimmy's getting huffy. But Van Alden abandons that line of question for another: specifically whether or not Margaret Schroeder is Nucky Thompson's girlfriend. Oh go invent Us Weekly, won't you please? So Jimmy continues to stonewall -- about Capone, about the murders, and about whether Nucky killed Hans Schroeder so he could be with his lady. He tells Van Alden to charge him if he likes, but he's got no evidence. "Don't I?" Van Alden replies cryptically.
We see what Van Alden's talking about -- and Jimmy does too, more importantly -- when Sebso marches Jimmy to a cell and they cross paths with Billy the driver. Billy starts yelling that they were gonna send him up the river, and Jimmy keeps yelling back "What did you say to them?!" So, yeah, now Jimmy is perhaps concerned.