Quarterly report pursuant to Section 13 or 15(d)

Warrant Liability (Tables)

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Warrant Liability (Tables)
 6 Months Ended
Jun. 30, 2024
Short-Term Debt [Line Items]  
Schedule of Derivative Liability Transactions

The details of warrant liability transactions were as follows:

 

    June 30, 2024     June 30, 2023  
    Six Months Ending  
    June 30, 2024     June 30, 2023  
    (Unaudited)     (Unaudited)  
Beginning balance   $ 1,052,000     $ —  
Issuance of warrants at fair value     —       5,831,000  
Change in fair value     (775,000 )     (4,311,000 )
Extinguishment     —       —  
Ending balance   $ 277,000     $ 1,520,000  
2023 Warrants [Member]  
Short-Term Debt [Line Items]  
Schedule of Derivative Liabilities Assumptions

The 2023 Warrant liability is valued using a Binomial pricing model with the following assumptions:

 

    2023 Warrants  
    June 30, 2024     December 31, 2023  
    (Unaudited)     (Unaudited)  
Stock price   $ 2.83     $ 7.80  
Risk-free interest rate 1     4.43 %     4.26 %
Expected volatility 2     116 %     115 %
Expected life (in years) 3     3.5 - 4.0       4.25  
Expected dividend yield 4     —       —  
Fair value of warrants   $ 277,000     $ 1,050,00  

 

1 Based on rates established by the Federal Reserve Bank
2 Historical volatility of the Company’s common stock is used to estimate the future volatility of its common stock
3 Determined by the remaining contractual life of the derivative instrument
4 Based on no dividends paid or expected to be paid
2020 Warrants [Member]  
Short-Term Debt [Line Items]  
Schedule of Derivative Liabilities Assumptions

The 2020 Warrant liability is valued using a Binomial pricing model with the following assumptions:

 

    2020 Warrants  
    June 30, 2024     December 31, 2023  
    (Unaudited)        
Stock price   $ 2.83     $ 7.80  
Risk-free interest rate 1     5.09 %     4.54 %
Expected volatility 2     116 %     89 %
Expected life (in years) 3     1.0       1.6  
Expected dividend yield 4     —       —  
                 
Fair value of warrants   $ —     $ 2,000  

 

1 Based on rates established by the Federal Reserve Bank
2 Historical volatility of the Company’s common stock is used to estimate the future volatility of its common stock
3 Determined by the remaining contractual life of the derivative instrument
4 Based on no dividends paid or expected to be paid