The following table sets forth the calculated fair values and the associated ranges of values we used for period remeasurement and for new grants in our Black-Scholes calculations for stock options, other than ESPP.
|
|
|
|
|
|
|
|
|
|
|
June 30, |
|
|
Three Months Ended June 30, |
|
|
2024 |
|
|
2024 |
|
2023 |
Share prices of our common stock |
|
$0.60 |
|
|
$0.60 |
|
$2.38 |
Expected volatilities |
|
79.04% |
|
|
68.2% - 92.9% |
|
50.3% - 54.8% |
Risk-free rates of return |
|
4.35% |
|
|
4.27% - 4.42% |
|
4.00% - 4.21% |
Expected option terms (years) |
|
3.83 |
|
|
3.06-4.66 |
|
4.06-5.67 |
Calculated option values |
|
$ |
0.07 |
|
|
$0.02 - $0.17 |
|
$0.07 - $1.17 |
The following table sets forth the fair values we calculated and the inputs used in our Black-Scholes model for stock appreciation right (SARs) awards.
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|
|
|
|
|
|
April 3, |
|
|
|
2024 |
|
Fair value at grant date |
|
$ |
0.61 |
|
Number of units |
|
1,732,854 |
|
Variables used in determining fair value: |
|
|
|
Volatility |
|
|
57.80 |
% |
Risk-free rate |
|
|
4.26 |
% |
Expected term (in years) |
|
|
6.00 |
|
The following table sets forth the fair values we calculated and the inputs we used in our Black-Scholes models for Private Warrants.
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|
|
|
|
|
|
|
|
|
|
June 30, |
|
|
December 31, |
|
|
|
2024 |
|
|
2023 |
|
Share price of our common stock |
|
$ |
0.60 |
|
|
$ |
1.02 |
|
Expected volatility |
|
|
90.40 |
% |
|
|
56.66 |
% |
Risk-free rate of return |
|
|
4.83 |
% |
|
|
4.31 |
% |
Expected warrant term (years) |
|
|
1.49 |
|
|
|
2.00 |
|
Fair value determined per warrant |
|
$ |
- |
|
|
$ |
0.00 |
|
The following table sets forth the fair values we calculated and the inputs we used in our Black-Scholes models for Common Warrants.
|
|
|
|
|
|
|
|
|
|
|
June 30, |
|
|
March 25, |
|
|
|
2024 |
|
|
2024 |
|
Share price of our common stock |
|
$ |
0.60 |
|
|
$ |
1.08 |
|
Expected volatility |
|
|
67.80 |
% |
|
|
72.80 |
% |
Risk-free rate of return |
|
|
4.24 |
% |
|
|
4.15 |
% |
Expected warrant term (years) |
|
|
5.24 |
|
|
|
5.50 |
|
Fair value determined per warrant |
|
$ |
0.26 |
|
|
$ |
0.65 |
|
|