You have the general idea; but not the concept.
1) People doing this are usually in compliance with US tax laws;
2) You have to be making enough real money to make it worthwhile;
3) Setting up an IBC is easy;
4) Setting up a bank account is tedious;
5) The bank will require a...
The funny thing is that is exactly what I do; I also know it can't work for a variety of reasons, i.e. the theory of runs, table limit, maximum size of the bankroll, etc..
However it is amusing ...
Once he is done with my first set of questions; we can move on to the advanced stuff, i.e. how do you get a free option out of a parity trade, etc., etc., ...