Some notes and thoughts: (a) LOL. What a widow-maker trade that was! (b) Actually, volatility was priced rather conservatively by every counter-party (despite 5-way comp) - the main risk that nobody took into account was their own funding. LOL again. (c) This guy seems to think that Buffet was carrying FX risk, but the trades that I am aware of were all crossed into dollars (some were very exotic) (d) His implied vol assumptions are wacky, these options where traded ATM and now are low delta, so vols have to be much higher. (e) While Buffet made money on trades themselves, he lost his AAA status because of them and it undoubtedly cost him more in funding/credit considerations that any premium he took in.