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Derivatives (Tables)
 9 Months Ended
Sep. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Terms and Assumptions in Valuation of Convertible Option of Notes
The terms and assumptions used to determine the fair value of the Warrants were as follows:


Measurement DateJuly 20, 2020
Stock Price$2.45
Expected Life in Years5.00
Annualized Volatility79.5 %
Discount Rate - Bond Equivalent Yield0.3 %
The terms and assumptions used in connection with the valuation of the convertible option of the 2023 Series B Notes were as follows:

12/31/20193/31/20205/28/2020
Issuance date10/31/201910/31/201910/31/2019
Maturity date5/1/20235/1/20235/1/2023
Term (years)3.333.082.92
Principal$34,405 $34,405 $34,405 
SenioritySenior unsecuredSenior unsecuredSenior unsecured
Conversion price$7.20 $7.20 $7.20 
Stock price$4.30 $2.80 $4.03 
Risk free rate1.6 %0.3 %0.2 %
Volatility47.3 %55.0 %62.5 %
The terms and assumptions used to determine the fair value of the Warrants were as follows:

Measurement Date4/6/20205/28/2020
Stock Price$2.70 $4.03 
Expected Life in Years5.004.86
Annualized Volatility77.6 %79.0 %
Discount Rate- Bond Equivalent Yield0.4 %0.3 %
Schedule of Liabilities Measured and Recognized at Fair Value on a Recurring Basis
The following table sets forth the Company’s derivative liabilities as presented on the Condensed Consolidated Balance Sheet that were measured and recognized at fair value on a recurring basis classified under the appropriate level of the fair value hierarchy as of December 31, 2019 and September 30, 2020, respectively.

Quoted Prices
in Active markets for
Identical Assets
and Liabilities		Significant
Other
Observable
Inputs		Significant
Unobservable
Inputs		Balance
as of 		Quoted Prices in Active markets for
Identical Assets and Liabilities		Significant Other
Observable Inputs		Significant Unobservable
Inputs		Balance
as of
Descriptions(Level 1)(Level 2)(Level 3)December 31, 2019(Level 1)(Level 2)(Level 3)September 30, 2020
Derivative liability related to Series B Convertible Notes— — $6,776 $6,776 — $— $— $— 
Derivative liabilities related to the Series C Convertible Notes— — — — — — 6,726 6,726 
Derivative liabilities related to Warrants— — $— $— — $— $— $— 
Derivative liabilities— — $6,776 $6,776 — $— $6,726 $6,726 
Schedule of Change in Fair Value of Level 3 Liabilities
The following table set forth a summary of changes in the fair value of the Company’s Level 3 liabilities for the nine months ended September 30, 2020. Any unrealized gains or losses on the derivative liabilities were recorded in the change in derivative liability line on the Company's Condensed Consolidated Statement of Operations.


DescriptionsBalance as of
12/31/2019		(Gain) or loss recognized in earnings
from Change in Fair Value		Balance as of
3/31/2020		Initial Measurement(Gain) or loss recognized in earnings
from Change in Fair Value		Reclassification to stockholder's equityBalance as of
6/30/2020		Initial Measurement(Gain) or loss recognized in earnings
from Change in Fair Value		Balance as of
9/30/2020
Fair value of convertible feature of Series B Convertible Notes$6,776 $(3,995)$2,781 $— $3,513 $(6,294)$— $— $— $— 
Fair value of the derivative liabilities related to the Senior Credit Facilities— 5,253 5,253 — 318 — 5,571 — (5,571)— 
Fair value of convertible feature of Series C Convertible Notes— — — — — — — 5,481 1,245 6,726 
Derivative liabilities related to Warrants— — — 1,406 760 (2,166)— — 
Change in the fair value of derivative liabilities$6,776 $1,258 $8,034 $1,406 $4,591 $(8,460)$5,571 $5,481 $(4,326)$6,726