Running Scared

Joey Gazelle (Paul Walker), a low-level mafioso for the Mafia member Tommy "Tombs" Perello (Johnny Messner), is present during a drug deal gone wrong. A trio of corrupt cops led by Rydell (Chazz Palminteri), storm in to steal the drugs, money and kill everyone else, but a shootout ensues, resulting in the deaths of two officers. Tommy looks to Joey to get rid of the guns but instead, Joey goes home to his wife Teresa (Vera Farmiga), and his son, Nicky (Alex Neuberger). Nicky and his friend from next door, Oleg (Cameron Bright), secretly watch as Joey stashes the guns in the basement.
Oleg decides to take one of the guns after Joey leaves and goes home that night to his mother Mila (Ivana MiliÄeviÄ) and abusive stepfather, Anzor Yugorsky (Karel Roden), the outcast nephew of Russian mob boss, Ivan Yugorsky (John Noble). Oleg shoots Anzor after he becomes belligerent with him and his mother. After hearing the gunshot, Joey arrives to find Anzor wounded and Oleg gone. Anzor describes the gun to Joey, making him realize Oleg has one of the murder weapons; Joey realizes he has to find Oleg and the gun before the police do.
Throughout the night, Oleg runs into many unsavory people, including a homeless man, a drug dealer, and an abusive pimp named Lester (David Warshofsky) and his prostitute, Divina (Idalis DeLeon). After saving Divina from Lester, she decides to help Oleg, which is how he winds up at the same diner that Joey and Nicky are at. Joey is there to talk to Frankie Perello (Arthur J. Nascarella), the Italian mob boss, about Oleg and to tell him that the gun Oleg used wasn't from the shootout. Nicky and Oleg stash the gun in the diner bathroom and when Oleg tries to flee, he is caught by the police and sent back into his stepfather's custody.
When Anzor takes Oleg out for ice cream to get him to tell him where the gun is, Oleg eventually winds up in the apartment with two other children of a married couple, Dez (Bruce Altman) and Edele (Elizabeth Mitchell), who turn out to be serial killers who prey on children. Oleg fakes an upset stomach and, on the way to the bathroom, finds Edele's purse by the door, takes her cell phone and calls Teresa. She prompts him to find anything with the apartment's address, and promises to come get him as Dez and Edele try and force their way into the bathroom.
When Teresa arrives, she threatens her way inside and searches the whole apartment, but sees no sign of Oleg. When she goes to leave, she realizes something is off. She threatens Dez who eventually indicates a closet in the playroom; she finds Oleg tied up with a plastic bag on his head. After Teresa saves Oleg by doing CPR, she holds the couple at gunpoint and tells Oleg to get the other kids and leave. Dez attempts to bribe Teresa with $100,000 in diamonds if she takes only Oleg with her. Teresa ignores him and finds children costumes, plastic body bags, snuff films and surgical instruments in the playroom closet. Teresa uses the couple's phone to call the police. She reports gunshots, hangs up, then murders them both.
Throughout all this, Joey has been tracking down the missing gun, and is about to finally get it back but is foiled by the presence of Tommy, who takes him and Oleg to a hockey rink to meet Frankie and Ivan. Ivan kills Anzor when he refuses to kill Oleg, and Joey, about to be killed himself, says in desperation that the gun is Tommy's. Tommy then attempts to kill him, but is instead killed by a Russian mobster when another shootout ensues. Frankie shoots Ivan during the process and goes to kill Joey, but Joey reveals his FBI cover. Oleg helps distract Frankie so Joey can disarm him, who then kills Frankie. Joey and Oleg leave the hockey rink in time to see the FBI storm the building.
Joey and Oleg run into Lester, the new owner of the gun, and a struggle between Joey and Lester develops. It ends with Lester shooting Joey with the gun, but not before Joey stabs Lester in the neck with his own knife. Joey and Oleg run and drive back to Joey's house. Back at Oleg's house, Mila thinks her son is dead and kills herself by blowing up the meth lab in their backyard. The explosion alerts Teresa and Nicky, who go to investigate. They see Joey crash the car after losing consciousness. Days later, a funeral is held for Joey with Teresa, Nicky, and Oleg in attendance; Oleg has been adopted into the family. They drive out to a small farm house, where Joey's car is parked in the driveway. Teresa sits on the bumper, and Joey emerges from under the car. He is alive and well, having faked his own death for his protection as an undercover officer.

Question: What does Joey reveal to Frankie?
Answer: His FBI cover