Quarterly report pursuant to Section 13 or 15(d)

Capitalization and Equity Structure (Tables)

v3.22.2.2
Capitalization and Equity Structure (Tables)
 9 Months Ended
Sep. 30, 2022
Stockholders' Equity Note [Abstract]  
Schedule of Warrant share activity
Warrants outstanding as of September 30, 2022 and December 31, 2021 were as follows:  
Source Exercise
Price		 Term
(Years)		 December 31, 2021 Issued Exercised September 30, 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:
September 30, 2022 December 31, 2021
Current share price $ 1.56  $ 2.65 
Conversion price $ 12.81  $ 12.81 
Risk-free interest rate 4.22  % 1.13  %
Expected term (years) 3.36 4.11
Volatility of stock 97.7  % 98.3  %
The following assumptions were used in the Black-Scholes Model to measure the fair value of the June 2020 Investor Warrants:
September 30, 2022 December 31, 2021
Current share price $ 1.56  $ 2.65 
Conversion price $ 5.18  $ 5.18 
Risk-free interest rate 4.23  % 1.11  %
Expected term (years) 3.19 3.94
Volatility of stock 99.5  % 103.9  %
The following assumptions were used in the Black-Scholes Model to measure the fair value of the June 2020 Placement Agent Warrants:
September 30, 2022 December 31, 2021
Current share price $ 1.56  $ 2.65 
Conversion price $ 5.64  $ 5.64 
Risk-free interest rate 4.19  % 1.03  %
Expected term (years) 2.69 3.44
Volatility of stock 101.4  % 100  %
The following assumptions were used in the Black-Scholes Model to measure the fair value of the December 2019 Warrants:
September 30, 2022 December 31, 2021
Current share price $ 1.56  $ 2.65 
Conversion price $ 8.10  $ 8.10 
Risk-free interest rate 4.19  % 1.04  %
Expected term (years) 2.72 3.47
Volatility of stock 101.3  % 99.7  %
The following assumptions were used in the Black-Scholes Model to measure the fair value of the December 2019 Placement Agent Warrants:
September 30, 2022 December 31, 2021
Current share price $ 1.56  $ 2.65 
Conversion price $ 8.44  $ 8.44 
Risk-free interest rate 4.09  % 0.96  %
Expected term (years) 2.22 2.97
Volatility of stock 72.9  % 102.9  %
The following assumptions were used in the Black-Scholes Model in combination with the Lattice Model to measure the fair value of the May 2019 Warrants:
September 30, 2022 December 31, 2021
Share price $ 1.56  $ 2.65 
Conversion price $ 3.52  $ 3.52 
Risk-free interest rate 4.16  % 0.83  %
Expected term (years) 1.6 2.4
Volatility of stock 73.7  % 109.1  %