Warrants (Tables)

3 Months Ended

Mar. 31, 2022

Warrants and Rights Note Disclosure [Abstract]

Derivatives Fair Value Assumptions

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

	December 31, 2021
Value of the written put options	$	4.50
Exercise price	$	10.15
Common stock price	$	5.66
Expected option term (in years)	0.18
Expected volatility	66.00%
Risk-free rate of return	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 dates:

	March 31, 2022		December 31, 2021
Fair value of each private warrant	$	0.92	$	0.87
Exercise price	$	11.50	$	11.50
Common stock price	$	8.24	$	5.66
Expected option term (in years)	4.68		4.94
Expected volatility	22.20%		39.50%
Risk-free rate of return	2.41%		1.25%
Expected annual dividend yield	—%		—%