Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2021

Fair Value Disclosures [Abstract]

The following table sets forth the Company’s financial instruments that were measured at fair value on a recurring basis by level within the fair value hierarchy

The following table sets forth the Company’s financial instruments that were measured at fair value on a recurring basis by level within the fair value hierarchy:

	Fair Value Measurements at June 30, 2021
	Total		Level 1		Level 2		Level 3
Liabilities
2020 Warrant liability	$	244,824	$	—	$	—	$	244,824
Total common stock warrant liability	$	244,824	$	—	$	—	$	244,824

The fair value measurement of the warrants issued by the Company in February 2020 (the "2020 Warrants") are based on significant inputs that are unobservable and thus represents a Level 3 measurement. The Company’s estimated fair value of the Warrant liability is calculated using the Black Scholes Option Pricing Model. Key assumptions at June 30, 2021 include the expected volatility of the Company’s stock of approximately 70%, the Company’s stock price at valuation date of $1.10, expected dividend yield of 0.0% and average risk-free interest rate of approximately 0.726%. The Level 3 estimates are based, in part, on subjective assumptions. During the periods presented, the Company has not changed the manner in which it values liabilities that are measured at fair value using Level 3 inputs. 

	Fair Value Measurements at December 31, 2020
	Total		Level 1		Level 2		Level 3
Liabilities
2019 Warrant liability	$	2,484,000	$	—	$	—	$	2,484,000
2020 Warrant liability		2,001,000		—		—		2,001,000
Total common stock warrant liability	$	4,485,000	$	—	$	—	$	4,485,000

The following table sets forth a summary of the changes in the fair value of the Company’s Level 3 financial instruments, which are treated as liabilities, as follows:

The following table sets forth a summary of the changes in the fair value of the Company’s Level 3 financial instruments, which are treated as liabilities, as follows:

	2019 Warrant						2020 Warrant
	Number of Warrants			Liability			Number of Warrants			Liability
Balance at December 31, 2020		13,800,000		$	2,484,000			8,700,000		$	2,001,000
Adoption of ASC 2020-06		(13,800,000	)		(2,484,000	)		—			—
Change in Fair Value of Warrants at date of exercise		—			—			—			7,521,150
Exercise of Warrants		—			—			(8,350,000	)		(9,441,650	)
Change in Fair Value, March 31, 2021		—			—			—			120,750
Change in Fair Value, June 30, 2021		—			—			—			43,574
Balance at June 30, 2021		—		$	—			350,000		$	244,824