WARRANT LIABILITY

3 Months Ended

Mar. 31, 2022

Note 10

WARRANT LIABILITY

In conjunction with the Merger, outstanding warrants to purchase Helix common stock were converted to warrants to purchase Company common stock. As the warrant holders have the option to receive cash in lieu of common stock in certain circumstances, the Company determined that the warrants require classification as a liability pursuant to ASC 815-40. In accordance with the applicable accounting guidance, the outstanding warrants are recognized as a warrant liability on the condensed consolidated balance sheet and are measured at their inception date fair value (the closing date of the Merger) and subsequently re-measured at each reporting period with changes being recorded in the condensed consolidated statement of operations. As of March 31, 2022, the Company had 92,058 warrants outstanding classified as liabilities.

The fair value of the Company’s warrant liability was calculated using the Black-Scholes model and the following assumptions:

	As of March 31, 2022			As of December 31, 2021
Fair value of company's common stock	$	6.96		$	9.02
Dividend yield		0	%		0	%
Expected volatility		86% - 121	%		118% - 149	%
Risk Free interest rate		1.58% - 2.41	%		0.06% - 0.97	%
Expected life (years)		1.66			1.82
Exercise price	$	8.00 - $28.00		$	8.00 - $28.00
Fair value of financial instruments - warrants	$	149,394		$	369,234

The change in fair value of the financial instruments – warrants is as follows:

	Amount
Balance at January 1, 2022	$	369,234

Change in fair value of warrant liability		(219,840	)

Balance at March 31, 2022	$	149,394

	Amount
Balance at January 1, 2021	$	—

Fair value of warrant liability assumed in connection with Helix Merger		1,247,715

Change in fair value of warrant liability		(623,627	)

Balance as of March 31, 2021	$	624,088