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Derivative Activities (Tables) | 9 Months Ended
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Sep. 30, 2019
Derivative Instruments And Hedging Activities Disclosure [Abstract] |
Derivative Volumes Hedged and Average Hedge Prices | 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 |
(1) | 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 2019 for 140,000 Mmbtu/day on which the counterparty can elect to extend the contract through December 2020 at a weighted average price of $2.81. In 2020, if the counterparty elects to double the volume, we would have additional swaps in place for 110,000 Mmbtu/day at a weighted average price of $2.78. We also have swaps in place for 2020 for 50,000 Mmbtu/day on which the counterparty can elect to extend the contract through December 2021 at a weighted average price of $2.75. In 2021, if the counterparty elects to double the volume, we would have additional swaps in place for 30,000 Mmbtu/day at a weighted average price of $2.70.
(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.
Combined Fair Value of Derivatives, by Consolidated Balance Sheets | 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 | )
Effects of Derivatives on Consolidated Statements of Operations | 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 | )

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