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Warrant Liabilities (Tables)
 9 Months Ended
Sep. 30, 2021
Warrant Liabilities [Abstract]  
Warrant Activity
A summary of the warrant liability activity for the nine months ended September 30, 2021 is as follows:

   
Warrants
Outstanding
    
Fair Value
per Share
    
Fair Value
  
Balance December 31, 2020
    
48,091,160
    
$
0.18
    
$
8,855,379
  
Cashless exercise of LGH Warrants
    
(11,400,000
)
    
0.18
      
(2,030,052
)
Warrants reclassified as liabilities
     17,592,594       0.09       1,531,187  
Gain on remeasurement of warrant liability
     -              
(2,686,773
)
Balance September 30, 2021
    
54,283,754
    
$
0.10
    
$
5,669,741
  
Fair Value of Warrant Liabilities Using Black-Scholes Model
NH Expansion Warrants -- Significant Black Scholes valuation model inputs related to the NH Expansion Warrants at September 30, 2021 and December 31, 2020 are as follows:

Black Scholes option pricing model
  
September 30, 2021
    
December 31, 2020
  
Exercise Price(1)
  
$
0.01
    
$
0.01
  
Interest Rate (annual) (2)
    
1.52
%
    
0.65
%
Volatility (annual) (3)
     130.8 %     143.9 %
Time to Maturity (Years)
    
8.9
      
9.6
  
Calculated fair value per share
   $ 0.119    
$
0.189
  

  (1)
Based on the terms provided in the warrant agreement to purchase common stock of the Company dated August 6, 2020.
  (2)
Interest rate for U.S. Treasury Bonds, as of each presented period ending date, as published by the U.S. Federal Reserve.
  (3)
Based on the historical daily volatility of the Company as of each presented period ending date.

LGH Warrants – On June 5, 2020, the Company entered into a securities purchase agreement with investor LGH Investments LLC ("LGH") for warrants entitling LGH to acquire 1,075,000 shares of common stock (the “LGH Warrants”), among other things. As a result of certain dilutive issuances of securities by the Company on August 6, 2020, the exercise price of the LGH Warrants decreased to $0.01 per share and the number of shares subject to the LGH Warrants increased to 35,000,000 shares. The Company has evaluated the terms of the warrants and after review has determined that these warrants meet the definition of a derivative liability. The fair value of the LGH Warrant liabilities was determined using the Black-Scholes option pricing model which approximates the binomial pricing model. Significant inputs into the model at September 30, 2021 and December 31, 2020 are as follows:

Black Scholes option pricing model
  
September 30, 2021
    
December 31, 2020
  
Exercise Price(1)
  
$
0.01
    
$
0.01
  
Interest Rate (annual) (2)
    
0.98
%
    
0.36
%
Volatility (annual) (3)
    
117.6
%
     98.6 %
Time to Maturity (Years)
    
3.7
      
4.4
  
Calculated fair value per share
   $ 0.114     $ 0.182  

  (1)
Based on the terms provided in the warrant agreement to purchase common stock of the Company dated August 6, 2020.
  (2)
Interest rate for U.S. Treasury Bonds, as of each presented period ending date, as published by the U.S. Federal Reserve.
  (3)
Based on the historical daily volatility of the Company as of each presented period ending date.

Leviston Warrants – As disclosed in Note 11 -Warrants, on April 20, 2021, May 14, 2021, and September 3, 2021, respectively, Leviston was issued 3,968,254, 3,968,254 and 1,322,751 warrants for shares of common stock. The Company has evaluated the terms of the warrants and after review has determined that these warrants meet the definition of a derivative liability. The fair value of the Leviston Warrant liabilities was determined using the Black-Scholes option pricing model which approximates the binomial pricing model. Significant inputs into the model at date of issuance and September 30, 2021:

Binomial Assumptions
  
Issuance date (1)
April 20, 2021
    
Issuance date (1)
May 14, 2021
    
Issuance date (1)
September 3, 2021
    
September 30, 2021
  
Exercise Price(1)
  
$
0.18
    
$
0.18
      
0.18
      
0.18
  
Interest Rate (annual) (2)
    
0.56
%
    
0.56
%
    
0.53
%
    
0.61
%
Volatility (annual) (3)
    
91.9
%
    
90.3
%
    
86.8
%
    
112.9
%
Time to Maturity (Years)
    
4.0
      
3.9
      
3.6
      
3.6
  
Calculated fair value per share
  
$
0.097
    
$
0.094
    
$
0.069
    
$
0.079
  


(1)
Based on the terms provided in the warrant agreement to purchase common stock of the Company on the stated issuance dates.

(2)
Interest rate for U.S. Treasury Bonds, as of each presented period ending date, as published by the U.S. Federal Reserve.

(3)
Based on the historical daily volatility of the Company as of each presented period ending date.

Five Institutions’ Warrants – As disclosed in Note 11 -Warrants on September 3, 2021, the Company also issued a total of 2,772,229 warrants for shares of common stock to Five Institutions. The Company has evaluated the terms of the warrants and after review has determined that these warrants meet the definition of a derivative liability. The fair value of the Five Institutions’ Warrant liabilities was determined using the Black-Scholes option pricing model which approximates the binomial pricing model. Significant inputs into the model at September 3, 2021 and September 30, 2021 are as follows:


Binomial Assumptions  
Issuance date (1)
September 3, 2021
    
September 30, 2021
  
Exercise Price(1)
  
$
0.18
    
$
0.18
  
Interest Rate (annual) (2)
    
0.60
%
    
0.74
%
Volatility (annual) (3)
    
89.9
%
    
114.5
%
Time to Maturity (Years)
    
4.0
      
3.9
  
Calculated fair value per share
  
$
0.075
    
$
0.083
  


(1)
Based on the terms provided in the warrant agreement to purchase common stock of the Company dated September 3, 2021.

(2)
Interest rate for U.S. Treasury Bonds, as of each presented period ending date, as published by the U.S. Federal Reserve.

(3)
Based on the historical daily volatility of the Company as of each presented period ending date.


GCF Warrants – As disclosed in Note 10- Notes Payable and Note 11- Warrants, on September 27, 2021, the Company issued warrants to GCF and affiliates to purchase 5,555,556 shares of the Company’s common stock. The Company has evaluated the terms of the warrants and after review has determined that these warrants meet the definition of a derivative liability.  The fair value of the GCF warrant liabilities was determined using the Black-Scholes option pricing model which approximates the binomial pricing model. Significant inputs into the model at both the issuance date and September 30, 2021 are as follows:

 
 
Binomial Assumptions
  
Issuance date (1)
September 27, 2021
     September 30, 2021
 
Exercise Price(1)
   $ 0.18     $ 0.18  
Interest Rate (annual) (2)
    
0.98
%
     0.98 %
Volatility (annual) (3)
    
117.6
%
     117.6 %
Time to Maturity (Years)
    
4.0
       4.0  
Calculated fair value per share
  
$
0.086
     $ 0.037  


(1)
Based on the terms provided in the warrant agreement to purchase common stock of the Company dated September 27, 2021.

(2)
Interest rate for U.S. Treasury Bonds, as of each presented period ending date, as published by the U.S. Federal Reserve.

(3)
Based on the historical daily volatility of the Company as of each presented period ending date.