Quarterly report pursuant to Section 13 or 15(d)

Capitalization and Equity Structure (Tables)

v3.22.1
Capitalization and Equity Structure (Tables)
 3 Months Ended
Mar. 31, 2022
Stockholders' Equity Note [Abstract]  
Schedule of Warrant share activity
Warrants outstanding as of March 31, 2022 and December 31, 2021 were as follows:  
Source Exercise
Price		 Term
(Years)		 December 31, 2021 Issued Exercised March 31, 2022
2021 Warrants $ 12.81  5 273  —  —  273 
June 2020 Investor Warrants $ 5.18  5.5 127  —  —  127 
June 2020 Placement Agent Warrants $ 5.64  5 39  —  —  39 
December 2019 Warrants $ 8.10  5 556  —  —  556 
December 2019 Placement Agent Warrants $ 8.44  5 52  —  —  52 
May 2019 Warrants $ 3.52  5 193  —  —  193 
  1,240  —  —  1,240 
Schedule of assumption used in valuation The following assumptions were used in the Black-Scholes Model to measure the fair value of the 2021 Warrants:
March 31, 2022 December 31, 2021
Current share price $ 2.89  $ 2.65 
Conversion price $ 12.81  $ 12.81 
Risk-free interest rate 2.44  % 1.13  %
Expected term (years) 3.86 4.11
Volatility of stock 95.67  % 98.3  %
The following assumptions were used in the Black-Scholes Model to measure the fair value of the June 2020 Investor Warrants:
March 31, 2022 December 31, 2021
Current share price $ 2.89  $ 2.65 
Conversion price $ 5.18  $ 5.18 
Risk-free interest rate 2.44  % 1.11  %
Expected term (years) 3.69 3.94
Volatility of stock 97.1  % 103.9  %
The following assumptions were used in the Black-Scholes Model to measure the fair value of the June 2020 Placement Agent Warrants:
March 31, 2022 December 31, 2021
Current share price $ 2.89  $ 2.65 
Conversion price $ 5.64  $ 5.64 
Risk-free interest rate 2.45  % 1.03  %
Expected term (years) 3.19 3.44
Volatility of stock 99.8  % 100.0  %
The following assumptions were used in the Black-Scholes Model to measure the fair value of the December 2019 Warrants:
March 31, 2022 December 31, 2021
Current share price $ 2.89  $ 2.65 
Conversion price $ 8.10  $ 8.10 
Risk-free interest rate 2.45  % 1.04  %
Expected term (years) 3.22 3.47
Volatility of stock 99.5  % 99.7  %
The following assumptions were used in the Black-Scholes Model to measure the fair value of the December 2019 Placement Agent Warrants:
March 31, 2022 December 31, 2021
Current share price $ 2.89  $ 2.65 
Conversion price $ 8.44  $ 8.44 
Risk-free interest rate 2.4  % 0.96  %
Expected term (years) 2.72 2.97
Volatility of stock 103.5  % 102.9  %
The following assumptions were used in a combination of the Black-Scholes Model and the Lattice Model to measure the fair value of the May 2019 Warrants:
March 31, 2022 December 31, 2021
Current share price $ 2.89  $ 2.65 
Conversion price $ 3.52  $ 3.52 
Risk-free interest rate 2.31  % 0.83  %
Expected term (years) 2.2 2.4
Volatility of stock 108.6  % 109.1  %