Item 3. Quantitative and Qualitative Disclosures About Market Risk

Except as discussed below, for the nine months ended September 30, 2021, there were no material changes in the information required to be provided under Item 305 of Regulation S-K included under Item 7A, Quantitative and Qualitative Disclosures About Market Risk in the 2020 Form 10-K.

As of September 30, 2021, Occidental had Brent-priced call options which enhanced the upside of three-way collars that expired in 2020, with an underlying volume of 350 thousand Bbl/d. These call options settle or expire ratably throughout the remainder of 2021. Brent prices have increased substantially since December 31, 2020 which has increased the fair value of the liability of these call options. See Note 5 - Derivatives in the notes to the consolidated condensed financial statements in Part I, Item 1 of this Form 10-Q.

The following table shows a sensitivity analysis based on both a 5% and 10% change in Brent crude oil prices and their effects on the net derivative liability position of $174 million at September 30, 2021:

As of September 30, 2021, Occidental also had derivative instruments in place to reduce the price risk associated with future gas production of 630 thousand MMbtu/d through the remainder of 2021. NYMEX natural gas prices have increased substantially since December 31, 2020 which has increased the fair value of the liability of these options. See Note 5 - Derivatives in the notes to the consolidated condensed financial statements in Part I, Item 1 of this Form 10-Q.

The following table shows a sensitivity analysis based on both a 5% and 10% change in NYMEX natural gas prices and their effects on the net derivative liability position of $90 million at September 30, 2021: