Warrants (Tables)

12 Months Ended

Dec. 31, 2021

Warrants and Rights Note Disclosure [Abstract]

Derivatives Fair Value Assumptions

The table below presents the value of the Written Put Options under the Black-Scholes OPM using the following assumptions as of the following dates:

	December 7, 2021			December 31, 2021
Value of the written put options	$	1.14		$	4.50
Exercise price	$	10.15		$	10.15
Common stock price	$	9.99		$	5.66
Expected option term (years)	0.25			0.18
Expected volatility	53.00		%	66.00		%
Risk-free rate of return	0.06		%	0.06		%
Expected annual dividend yield	—		%	—		%

The table below presents the value of the private warrants under the Black-Scholes OPM using the following assumptions as of the following periods:

	December 7, 2021			December 31, 2021
Fair value of each private warrant	$	1.15		$	0.87
Exercise price	$	11.50		$	11.50
Common stock price	$	9.99		$	5.66
Expected option term (years)	5			4.94
Expected volatility	16.50		%	39.50		%
Risk-free rate of return	1.26		%	1.25		%
Expected annual dividend yield	—		%	—		%