Quarterly report pursuant to Section 13 or 15(d)

Private Warrants - Schedule of Fair Value Valuation of Private Warrants (Details)

v3.21.2
Private Warrants - Schedule of Fair Value Valuation of Private Warrants (Details)
9 Months Ended 12 Months Ended
Sep. 30, 2021
USD ($)
Dec. 31, 2020
USD ($)
Measurement Input, Exercise Price [Member]    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Warrants and Rights Outstanding, Measurement Output 7.90 13.81
Measurement Input, Share Price [Member]    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Warrants and Rights Outstanding, Measurement Input 16.34  
Measurement Input, Price Volatility [Member]    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Warrants and Rights Outstanding, Measurement Input [1] 0.45  
Warrants and Rights Outstanding, Measurement Input   0.400
Measurement Input, Risk Free Interest Rate [Member]    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Warrants and Rights Outstanding, Measurement Input [2] 0.0081  
Measurement Input, Expected Term [Member]    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Warrants and Rights Outstanding, Term [3] 4 years 2 months 26 days  
Maximum [Member] | Measurement Input, Exercise Price [Member]    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Warrants and Rights Outstanding, Measurement Output 33.65  
Maximum [Member] | Measurement Input, Share Price [Member]    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Warrants and Rights Outstanding, Measurement Input 44.26  
Maximum [Member] | Measurement Input, Price Volatility [Member]    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Warrants and Rights Outstanding, Measurement Input [1] 0.45  
Maximum [Member] | Measurement Input, Risk Free Interest Rate [Member]    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Warrants and Rights Outstanding, Measurement Input [2] 0.0085  
Maximum [Member] | Measurement Input, Expected Term [Member]    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Warrants and Rights Outstanding, Term [3] 4 years 9 months 7 days  
Minimum [Member] | Measurement Input, Exercise Price [Member]    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Warrants and Rights Outstanding, Measurement Output 7.90  
Minimum [Member] | Measurement Input, Share Price [Member]    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Warrants and Rights Outstanding, Measurement Input 16.34 23.51
Minimum [Member] | Measurement Input, Price Volatility [Member]    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Warrants and Rights Outstanding, Measurement Input [1] 0.40  
Minimum [Member] | Measurement Input, Risk Free Interest Rate [Member]    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Warrants and Rights Outstanding, Measurement Input 0.0076 0.0036 [2]
Minimum [Member] | Measurement Input, Expected Term [Member]    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Warrants and Rights Outstanding, Term [3] 4 years 2 months 26 days 4 years 11 months 26 days
[1]

We estimated expected volatilities using stock data for select peer public companies over a timeframe similar to the expected term. We selected peer companies using our judgment and as such, expected volatility is a Level 3 input.

[2]

We estimated risk-free rates using the U.S. Treasury yield curve in effect as of the valuation dates.

[3] The expected warrant terms are equal to the remaining contractual life of the Private Warrants at each measurement date.