Quarterly report pursuant to Section 13 or 15(d)

Warrant Liability (Tables)

v3.24.3
Warrant Liability (Tables)
9 Months Ended
Sep. 30, 2024
Short-Term Debt [Line Items]  
Schedule of Derivative Liability Transactions

The details of warrant liability transactions were as follows:

 

    September 30, 2024     September 30, 2023  
    Nine Months Ending  
    September 30, 2024     September 30, 2023  
    (Unaudited)     (Unaudited)  
Beginning balance   $ 1,052,000     $ 18,000  
Issuance of warrants at fair value           5,831,000  
Change in fair value     (870,000 )     (4,796,000 )
Extinguishment            
Ending balance   $ 182,000     $ 1,053,000  
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  
    September 30, 2024     December 31, 2023  
    (Unaudited)     (Unaudited)  
Stock price   $ 2.31     $ 7.20  
Risk-free interest rate 1     3.58 %     4.6 %
Expected volatility 2     114 %     119.7 %
Expected life (in years) 3     3.253.75       4.5  
Expected dividend yield 4            
Fair value of warrants   $ 182,000     $ 1,051,000  

 

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
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  
    September 30, 2024     September 30, 2023  
    (Unaudited)        
Stock price   $ 2.31     $ 7.20  
Risk-free interest rate 1     3.98 %     5.0 %
Expected volatility 2     114 %     89.0 %
Expected life (in years) 3     0.8       1.8  
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