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CONVERTIBLE PREFERRED STOCK WARRANT LIABILITY (Tables)
 9 Months Ended
Sep. 30, 2021
Warrants and Rights Note Disclosure [Abstract]  
Schedule of Valuation Assumptions
The fair value of the Series E convertible preferred stock contingent forward contract liability for the third closing was determined using a forward payoff. The Company’s inputs used in determining the fair value on the issuance date and settlement date, were as follows:
Stock Price$13.79  
Volatility100.00 %
Expected term (in years)0.01
Risk-free rate0.03 %
The fair value of the Series E convertible preferred stock contingent forward contract liability for the fourth closing was determined using a forward and an option payoff. The Company’s inputs used in determining the fair value on the issuance date were as follows:
Fair value of Series E convertible preferred share$13.79  
Volatility100.00 %
Expected term (in years)0.11
Risk-free rate0.03 %
The Company’s assumptions used in determining the fair value of convertible preferred stock warrants on December 31, 2020 were as follows:
December 31,
2020
Volatility50.00 %
Expected term (in years)
0.5 - 1.5
Risk-free rate
0.09 – 0.12%
Expected dividend rate0.00 %
The level 3 fair value inputs used in the valuation were as follows:
September 30, 2021July 23, 2021
Fair value of private warrants per share$18.92  $18.44  
Volatility75.00 %80.00 %
Expected term (in years)4.85.0
Risk-free rate0.94 %0.72 %
Dividend yield— %— %
The level 3 fair value inputs used in the valuation were as follows:
September 30, 2021July 23, 2021
Fair value of Tranche 1 with $20.00 VWAP threshold per share
$—  $18.16  
Fair value of Tranche 2 with $25.00 VWAP threshold per share
$18.78  $18.07  
Fair value of Tranche 3 with $30.00 VWAP threshold per share
$18.60  $17.92  
Volatility75.00 %80.00 %
Expected term (in years)4.85.0
Risk-free rate0.94 %0.72 %
Dividend yield— %— %