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, calls 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 gain of $152.3 million at September 30, 2019. These contracts expire monthly through December 2021. The following table sets forth our commodity-based derivative volumes by year as of September 30, 2019, excluding our basis and freight swaps which are discussed separately below:

Period	Contract Type	Volume Hedged	Weighted Average Hedge Price
Natural Gas
2019	Swaps	1,271,739 Mmbtu/day		$ 2.82
2020	Swaps	674,208 Mmbtu/day		$ 2.64
2019	Swaptions	140,000 Mmbtu/day		$ 2.81 ⁽¹⁾
2020	Swaptions	147,568 Mmbtu/day		$ 2.77 ⁽¹⁾
2021	Swaptions	30,000 Mmbtu/day		$ 2.70 ⁽¹⁾

Crude Oil
2019	Swaps	9,168 bbls/day		$ 56.11
2020	Swaps	6,738 bbls/day		$ 58.53
2019	Collars	1,000 bbls/day		$ 63.00 − $ 73.00
2020	Swaptions	1,000 bbls/day		$ 57.00 ⁽²⁾
2021	Swaptions	1,000 bbls/day		$ 55.00 ⁽²⁾
2020	Calls	500 bbls/day		$ 59.00

NGLs (C3-Propane)
2019	Swaps	500 bbls/day		$ 0.53/gallon

NGLs (NC4-Normal Butane)
2019	Swaps	1,000 bbls/day		$ 0.60/gallon

NGLs (iC4-Iso Butane)
2019	Swaps	500 bbls/day		$ 0.75/gallon

NGLs (C5-Natural Gasoline)
2019	Swaps	5,500 bbls/day		$ 1.30/gallon

⁽²⁾ Contains a combined derivative instrument consisting of a fixed price swap and a sold option to extend or double the volumes. We have swaps in place for 2020 for 1,000 bbls/day on which the counterparty can elect to extend the contract through 2021 at a weighted average price of $57.00. In 2021, if the counterparty elects to double the volume, we would have additional swaps in place for 1,000 bbls/day at a weighted average price of $55.00.

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, calls and swaptions described above, at September 30, 2019, 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 2021 and include a total volume of 129,765,000 Mmbtu. The fair value of these contracts was a gain of $4.6 million at September 30, 2019.

At September 30, 2019, we also had propane spread swap contracts which lock in the differential between Mont Belvieu and international propane indices. The contracts settle monthly in October through December of 2019 and monthly in 2020 and include a total volume of 1,875,000 barrels. The fair value of these contracts was a loss of $3.3 million at September 30, 2019.

In connection with our international propane sales, we utilize propane swaps. To further hedge our propane price, at September 30, 2019, we had freight swap contracts on the Baltic Exchange which lock in the freight rate for a specific trade route. These contracts settle monthly and cover 10,000 metric tons per month through December 2019, 4,000 metric tons per month in 2020 and 5,000 metric tons per month in 2021, with the fair value of these contracts equal to a gain of $1.4 million at September 30, 2019.

The combined fair value of derivatives included in the accompanying consolidated balance sheets as of September 30, 2019 and December 31, 2018 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, 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	$	102,076	$	(1,106	)	$	100,970
	–swaptions		27,309		(2,107	)		25,202
	–basis swaps		6,695		(2,108	)		4,587
Crude oil	–swaps		19,012		(602	)		18,410
	–swaptions		2,896		(1,382	)		1,514
	–calls		—		(224	)		(224	)
	−collars		869		—			869
NGLs	–C3 propane spread swaps		17,816		(17,816	)		—
	–C3 propane swaps		132		—			132
	–iC4 iso butane swaps		—		(2	)		(2	)
	–NC4 normal butane swaps		160		—			160
	−C5 natural gasoline swaps		5,229		—			5,229
Freight	−swaps		1,439		(1,439	)		—
		$	183,633	$	(26,786	)	$	156,847

		September 30, 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	$	(1,106	)	$	1,106	$	—
	–swaptions		(2,107	)		2,107		—
	–basis swaps		(2,075	)		2,108		33
Crude oil	–swaps		(602	)		602		—
	–swaptions		(1,382	)		1,382		—
	–calls		(224	)		224		—
NGLs	–C3 propane spread swaps		(21,105	)		17,816		(3,289	)
	–iC4 iso butane swaps		(2	)		2		—
Freight	–swaps		—			1,439		1,439
		$	(28,603	)	$	26,786	$	(1,817	)

		December 31, 2018
		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	$	20,834	$	(11,748	)	$	9,086
	–swaptions		5,200		(3,883	)		1,317
	–basis swaps		6,468		(2,822	)		3,646
Crude oil	–swaps		26,481		(651	)		25,830
	–collars		5,945		(707	)		5,238
NGLs	–C3 propane swaps		18,719		(589	)		18,130
	–C3 propane collars		8,538		—			8,538
	–C3 propane spread swaps		8,984		(8,868	)		116
	–NC4 normal butane swaps		4,084		—			4,084
	–C5 natural gasoline swaps		17,371		—			17,371
Freight	–swaps		—		(561	)		(561	)
		$	122,624	$	(29,829	)	$	92,795

		December 31, 2018
		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	$	(18,332	)	$	11,748	$	(6,584	)
	–swaptions		(7,972	)		3,883		(4,089	)
	–basis swaps		(1,702	)		2,822		1,120
Crude oil	–swaps		—			651		651
	–collars		—			707		707
NGLs	–C3 propane swaps		—			589		589
	–C3 propane spread swaps		(8,868	)		8,868		—
Freight	–swaps		(561	)		561		—
		$	(37,435	)	$	29,829	$	(7,606	)

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

	Derivative Fair Value Income (Loss)
		Three Months Ended September 30,						Nine Months Ended September 30,
		2019			2018			2019			2018
Commodity swaps	$	60,090		$	(35,868	)	$	161,799		$	(143,598	)
Swaptions		10,358			7,093			39,451			4,100
Collars		356			(3,965	)		(3,590	)		(4,031	)
Calls		(224	)		197			(224	)		526
Basis swaps		3,448			(2,350	)		7,801			(9,043	)
Freight swaps		648			302			2,953			156
Total	$	74,676		$	(34,591	)	$	208,190		$	(151,890	)