We use commodity-based derivative contracts to manage exposure to commodity price fluctuations. We do not enter into these arrangements for speculative or trading purposes. We utilize commodity swaps, collars, three-way collars or swaptions to (1) reduce the effect of price volatility of the commodities we produce and sell and (2) support our annual capital budget and expenditure plans. The fair value of our derivative contracts, represented by the estimated amount that would be realized upon termination, based on a comparison of the contract price and a reference price, generally the New York Mercantile Exchange (“NYMEX”) for natural gas and crude oil or Mont Belvieu for NGLs, approximated a net loss of $83.5 million at September 30, 2020. These contracts expire monthly through December 2021. The following table sets forth our commodity-based derivative volumes by year as of September 30, 2020, excluding our basis and freight swaps and divestiture contingent consideration which are discussed separately below:

Period	Contract Type	Volume Hedged	Weighted Average Hedge Price
			Swap		Sold Put	Floor	Ceiling
Natural Gas ⁽¹⁾
2020	Swaps	1,133,587 Mmbtu/day	$	2.63
2021	Swaps	510,000 Mmbtu/day	$	2.77
2020	Collars	5,041 Mmbtu/day				$ 2.00	$ 2.50
January – October 2021	Collars	342,237 Mmbtu/day				$ 2.51	$ 3.00
2020	Three-way Collars	79,891 Mmbtu/day			$ 2.23	$ 2.58	$ 3.19
2021	Three-way Collars	240,000 Mmbtu/day			$ 1.99	$ 2.33	$ 2.60

Crude Oil
2020	Swaps	6,000 bbls/day	$	58.02
2021	Swaps	1,000 bbls/day	$	55.00

NGLs (C3-Propane)
2020	Swaps	6,000 bbls/day	$	0.51/gallon

NGLs (NC4-Normal Butane)
2020	Swaps	1,000 bbls/day	$	0.60/gallon

NGLs (C5-Natural Gasoline)
2020	Swaps	2,000 bbls/day	$	0.89/gallon

Every derivative instrument is required to be recorded on the balance sheet as either an asset or a liability measured at its fair value. We recognize all changes in fair value of these derivatives as earnings in derivative fair value income or loss in the periods in which they occur.

In addition to the swaps, collars and swaptions described above, at September 30, 2020, we had natural gas basis swap contracts which lock in the differential between NYMEX Henry Hub and certain of our physical pricing indices. These contracts settle monthly through December 2024 and include a total volume of 81,745,000 Mmbtu. The fair value of these contracts was a gain of $5.4 million at September 30, 2020.

At September 30, 2020, we also had propane spread swap contracts which lock in the differential between Mont Belvieu and international propane indices. The contracts settle monthly in 2020 and include a total volume of 312,500 barrels. The fair value of these contracts was a loss of $529,000 at September 30, 2020.

In connection with our international propane sales, we utilize propane swaps. To further hedge our propane price, at September 30, 2020, we had freight swap contracts on the Baltic Exchange which lock in the freight rate for a specific trade route. These contracts settle monthly through December 2021 with the fair value of these contracts equal to a loss of $1.4 million at September 30, 2020.

In addition to the derivatives described above, our right to receive contingent consideration in conjunction with the sale of our North Louisiana assets was determined to be a derivative financial instrument that is not designated as a hedging instrument. The contingent consideration of up to $90.0 million is based on future achievement of natural gas and oil prices based on published indexes and realized NGLs prices of the buyer from July through December 2020 and for the years 2021, 2022 and 2023. All changes in the fair value are recognized as a gain or loss in earnings in the period they occur in derivative fair value income or loss in our consolidated statements of operations.

The combined fair value of derivatives included in the accompanying consolidated balance sheets as of September 30, 2020 and December 31, 2019 is summarized below. The assets and liabilities are netted where derivatives with both gain and loss positions are held by a single counterparty and we have master netting arrangements. The tables below provide additional information relating to our master netting arrangements with our derivative counterparties (in thousands):

		September 30, 2020
		Gross Amounts of Recognized Assets		Gross Amounts Offset in the Balance Sheet			Net Amounts of Assets Presented in the Balance Sheet
Derivative assets:
Natural gas	–swaps	$	10,083	$	(9,159	)	$	924
	–three-way collars		680		(680	)		—
	–basis swaps		6,620		(3,263	)		3,357
Crude oil	–swaps		14,065		(13,566	)		499
NGLs	–C3 propane spread swaps		2,974		(2,974	)		—
	–C3 propane swaps		101		—			101
	–NC4 normal butane swaps		17		(17	)		—
	−C5 natural gasoline swaps		25		—			25
Freight	−swaps		19		(19	)		—
Divestiture contingent consideration			15,420		—			15,420
		$	50,004	$	(29,678	)	$	20,326

		September 30, 2020
		Gross Amounts of Recognized (Liabilities)			Gross Amounts Offset in the Balance Sheet		Net Amounts of (Liabilities) Presented in the Balance Sheet
Derivative (liabilities):
Natural gas	–swaps	$	(33,359	)	$	9,159	$	(24,200	)
	–swaptions		(20,368	)		—		(20,368	)
	–collars		(14,169	)		—		(14,169	)
	–three-way collars		(40,563	)		680		(39,883	)
	–basis swaps		(1,220	)		3,263		2,043
Crude oil	–swaps		—			13,566		13,566
NGLs	–C3 propane spread swaps		(3,503	)		2,974		(529	)
	–NC4 normal butane calls		—			17		17
Freight	–swaps		(1,407	)		19		(1,388	)
		$	(114,589	)	$	29,678	$	(84,911	)

		December 31, 2019
		Gross Amounts of Recognized Assets		Gross Amounts Offset in the Balance Sheet			Net Amounts of Assets Presented in the Balance Sheet
Derivative assets:
Natural gas	–swaps	$	134,364	$	(2,913	)	$	131,451
	–swaptions		—		(1,325	)		(1,325	)
	–basis swaps		10,766		(1,092	)		9,674
Crude oil	–swaps		3,893		(4,794	)		(901	)
	–swaptions		—		(1,597	)		(1,597	)
	–calls		—		(349	)		(349	)
NGLs	–C3 propane spread swaps		1,913		(1,913	)		—
	–NC4 normal butane swaps		167		—			167
	–C5 natural gasoline swaps		60		(127	)		(67	)
Freight	–swaps		1,529		(1,028	)		501
		$	152,692	$	(15,138	)	$	137,554

		December 31, 2019
		Gross Amounts of Recognized (Liabilities)			Gross Amounts Offset in the Balance Sheet		Net Amounts of (Liabilities) Presented in the Balance Sheet
Derivative (liabilities):
Natural gas	–swaps	$	(1,657	)	$	2,913	$	1,256
	–swaptions		(2,594	)		1,325		(1,269	)
	–basis swaps		(1,371	)		1,092		(279	)
Crude oil	–swaps		(4,814	)		4,794		(20	)
	–swaptions		(2,254	)		1,597		(657	)
	–calls		(349	)		349		—
NGLs	–C3 propane spread swaps		(16,040	)		1,913		(14,127	)
	–C5 natural gasoline swaps		(127	)		127		—
Freight	–swaps		—			1,028		1,028
		$	(29,206	)	$	15,138	$	(14,068	)

The effects of our derivatives on our consolidated statements of operations are summarized below (in thousands):

	Derivative Fair Value (Loss) Income
		Three Months Ended September 30,						Nine Months Ended September 30,
		2020			2019			2020			2019
Commodity swaps	$	(91,425	)	$	60,090		$	142,413		$	161,799
Swaptions		(14,166	)		10,358			(15,520	)		39,451
Three-way collars		(20,705	)		—			(38,267	)		—
Collars		(16,893	)		356			(14,336	)		(3,590	)
Calls		(255	)		(224	)		(12	)		(224	)
Basis swaps		15,587			3,448			31,750			7,801
Freight swaps		2,737			648			(4,276	)		2,953
Divestiture contingent consideration		430			—			430			—
Total	$	(124,690	)	$	74,676		$	102,182		$	208,190