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FAIR VALUE MEASUREMENTS AND INVESTMENT SECURITIES (Tables)
 9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Summary of Assets Measured at Fair Value on a Recurring Basis The following table presents the Company’s investment securities (including, if applicable, those classified on the Company’s balance sheet as cash equivalents) that are measured at fair value on a recurring basis as of September 30, 2021 and December 31, 2020:
Fair Value at September 30, 2021
Fair Value at December 31, 2020
(in thousands)
Level 1
Level 2
 Level 3
Level 1Level 2 Level 3
Cash equivalents:
Money market funds and treasury bills$12,481 $— $— $27,463 $— $— 
Total cash equivalents$12,481 $— $— $27,463 $— $— 
Schedule of Derivative Liabilities at Fair Value
The fair value of the warrants has been estimated with the following weighted-average assumptions, including the most sensitive input, volatility:

September 30, 2021December 31, 2020
Risk-free interest rate
0.95%0.46%
Volatility
95.00%90.00%
Expected term (years)
4.895.64
The fair value of the private placement option has been estimated with the following weighted-average assumptions, including the most sensitive input, volatility:
September 30, 2021December 31, 2020
Risk-free interest rate1.33 %0.77 %
Volatility95.00 %90.00 %
Expected term (years)7.007.00

The following table provides the warrant derivative and private placement option reported at fair value and measured on a recurring basis:
Fair Value at September 30, 2021
Fair Value at December 31, 2020
(in thousands)Level 1Level 2Level 3Level 1Level 2Level 3
Warrant derivative liability$— $— $7,842 $— $— $10,345 
Private placement option liability— — 2,800 — — 7,803 
Total fair value$— $— $10,642 $— $— $18,148 
The following table reflects the fair value roll forward reconciliation of the warrant derivative and private placement option liabilities for the period ended September 30, 2021:
(in thousands)Warrant Derivative LiabilityPrivate Placement Option LiabilityTotal
Balance, December 31, 2020
$10,345 $7,803 $18,148 
Change in fair value(2,503)(5,003)(7,506)
Balance, September 30, 2021
$7,842 $2,800 $10,642