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Fair Value of Financial Measurements (Tables)
9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Schedule of Financial Assets and Liabilities Measured at Fair Value On a Recurring Basis
The following tables present information about our financial assets and liabilities measured at fair value on are recurring basis:

September 30, 2021
(In thousands)Level 1Level 2Level 3Total
Liabilities:
Derivative liability$— $— $11,938 $11,938 
Warrant liability$— $399 $— $399 
$— $399 $11,938 $12,337 
Schedule of Fair Value Significant Assumptions
The fair value of the derivative liability is considered a Level 3 valuation and is determined using a Binomial Lattice Option Pricing Model. The significant assumptions used in the model were:

 September 30, 2021
Stock price$3.16
Volatility73.0%
Risk free rate0.91%
Exercise price$10.65
Expected life (in years)4.69
Conversion periods
2-5 years
Future share price
$0.01-$53.49