Warrant Liability

6 Months Ended

Jun. 30, 2024

Warrant Liability

Warrant Liability

3. Warrant Liability

In October 2022, the Company completed a public equity offering, which included the issuance of 54,174 warrants. The warrants provide for a Black Scholes value calculation, as defined, in the event of certain transactions (“Fundamental Transactions,” as defined), which includes a floor on volatility utilized in the Black Scholes value calculation at 100% or greater. The Company has determined that this provision introduces leverage to the holders of the warrants that could result in a value that would be greater than the settlement amount of a fixed-for-fixed option on the Company’s own equity shares. Accordingly, pursuant to ASC 815, the Company has classified the fair value of the warrants as a liability to be re-measured at the end of every reporting period with the change in value reported in the statement of operations.

The warrant liability was valued at the following dates using a Black-Scholes model with the following assumptions:

	June 30, 2024			December 31, 2023
Warrant liability:
Risk-free interest rate		4.49	%		3.94	%
Expected volatility		134.22	%		136.25	%
Expected life (in years)		3.28			3.78
Expected dividend yield		-			-
Fair Value of warrant liability	$	7,655		$	55,751

The risk-free rate is based on the U.S. Treasury yield curve in effect at the time of grant. The Company determines expected volatility based upon the historical volatility of the Company’s common stock. The Company does not believe that the future volatility of its common stock over an option’s expected term is likely to differ significantly from the past. The expected term of the warrants granted are determined based on the duration of time the warrants are expected to be outstanding. The dividend yield on the Company’s warrants is assumed to be zero as the Company has not historically paid dividends.