Derivative Liabilities (Tables)

12 Months Ended

Dec. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Fair Value of Derivative Liabilities

In determining the fair value of the derivative liabilities, the Company used the Black-Scholes option pricing model on December 31, 2020 and 2019:

	December 31, 2020
Common stock issuable upon exercise of warrants		295,000
Market value of common stock on measurement date	$	1.53
Exercise price	$	0.42
Risk free interest rate (1)		0.13	%
Expected life in years		1 year
Expected volatility (2)		160.03	%
Expected dividend yields (3)		0	%

	December 31, 2019
Common stock issuable upon exercise of warrants		295,000
Market value of common stock on measurement date	$	1.11
Exercise price	$	1.20
Risk free interest rate (1)		1.58	%
Expected life in years		2 years
Expected volatility (2)		86.66	%
Expected dividend yields (3)		0	%

(1)	The risk-free interest rate was determined by management using the applicable Treasury Bill as of the measurement date.
(2)	The historical trading volatility was determined by calculating the volatility of the Company’s peers’ common stock.
(3)	The Company does not expect to pay a dividend in the foreseeable future.

Schedule of Change in Derivative Liabilities

The following table shows the change in the Company’s derivative liabilities rollforward for the years ended December 31, 2020 and 2019 (in thousands):

	Amount
Balance, December 31, 2018	$	326
Initial valuation of derivative liabilities upon issuance of warrants		66
Change in fair value of derivative liabilities		(245	)
Balance, December 31, 2019	$	147

	Amount
Balance, December 31, 2019	$	147
Change in fair value of derivative liabilities		216
Balance, December 31, 2020	$	363