Warrants (Tables)

3 Months Ended

Mar. 31, 2023

Warrants and Rights Note Disclosure [Abstract]

Derivatives Fair Value Assumptions

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

	March 31, 2023		January 19, 2023
Value of each PIPE warrant	$	1.83	$	1.22
Exercise price	$	2.39	$	2.39
Common stock price	$	2.44	$	1.87
Expected option term (years)	5.3		5.5
Expected volatility	94.60%		82.10%
Risk-free rate of return	3.60%		3.40%
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, 2023		December 31, 2022
Fair value of each private warrant	$	0.30	$	0.04
Exercise price	$	11.50	$	11.50
Common stock price	$	2.44	$	0.67
Expected option term (in years)	3.7		3.9
Expected volatility	62.10%		72.10		%
Risk-free rate of return	3.70%		4.10		%
Expected annual dividend yield	—%		—		%