Derivative Instruments

3 Months Ended

Mar. 31, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments

Note 6 – Derivative Instruments

The estimated fair value of the Company’s derivative liabilities, all of which were related to the detachable warrants issued in connection with various notes payable that have now been paid off or settled, were estimated using a closed-ended option pricing model utilizing assumptions related to the contractual term of the instruments, estimated volatility of the price of the Company’s common stock and current interest rates. The detachable warrants issued in connection with the two other short-term notes payable (See Note 3) contained ratchet and anti-dilution provisions that remain in effect during the term of the warrants while the ratchet and anti-dilution provisions of the other notes payable cease when the related note payable is extinguished.

On April 1, 2021, the outstanding warrants treated as derivatives and the related notes payable containing such ratchet and anti-dilution provisions were extinguished through an exchange transaction as described in Note 3. Therefore, the derivative liability was adjusted to fair value and extinguished as of April 1, 2021.

A summary of the assumptions used in calculating estimated fair value of such derivative liabilities as of March 31, 2021 is as follows:

	As of March 31, 2021
Volatility – range		373.9	%
Risk-free rate		0.92	%
Contractual term		0.2 years
Exercise price	$	5.60
Number of warrants in aggregate		8,500

The following table provides a summary of the changes in fair value, including net transfers in and/or out, of the derivative financial instruments, measured at fair value on a recurring basis using significant unobservable inputs for both open and closed derivatives:

	Amount
Balance at December 31, 2020	$	321
Unrealized derivative gains included in other income/expense for the period		(199	)
Balance at March 31, 2021	$	122
Balance at December 31, 2021	$	—
Balance at March 31, 2022	$	—