Fair Value Considerations (Tables)

9 Months Ended

Sep. 30, 2024

Fair Value Considerations [Abstract]

Schedule of ranges of values used and fair value determined

The following table sets forth the associated ranges of values we used for period remeasurement and the calculated fair values from our Black-Scholes calculations for stock options, other than ESPP.


	September 30,		Three Months Ended September 30,
	2024		2024		2023
Share prices of our common stock	$	0.45	$	0.45	$	2.07
Expected volatilities	110.28%		104.90% - 117.83%		51.76% - 55.88%
Risk-free rates of return	3.53%		3.52% - 3.55%		4.50% - 4.61%
Expected option terms (years)	3.58		2.81 - 4.41		3.82 - 5.42%
Calculated option values	$	0.13	$0.02 - $0.26		$0.04 - $0.95

The following table sets forth the fair values we calculated and the inputs used in our Black-Scholes model for SARs.


	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.


	September 30,			December 31,
	2024			2023
Share price of our common stock	$	0.45		$	1.02
Expected volatility		100.00	%		56.66	%
Risk-free rate of return		3.86	%		4.31	%
Expected warrant term (years)		1.24			2.00
Fair value determined per warrant	$	0.00		$	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.


	September 30,			March 25,
	2024			2024
Share price of our common stock	$	0.45		$	1.08
Expected volatility		74.70	%		72.80	%
Risk-free rate of return		3.52	%		4.15	%
Expected warrant term (years)		4.99			5.50
Fair value determined per warrant	$	0.18		$	0.65

The following table sets forth the fair values we calculated using a weighted average valuation approach for the initial valuation of our Dividend Warrants. As of September 30, 2024, we have designated these instruments as Level 1 instruments and will remeasure accordingly with the traded share price of the Dividend Warrants at each subsequent period end date.


	July 12
	2024
Fair value at grant date	$	0.05
Number of units		46,756,215
Variables used in determining fair value:
Volatility		99.05	%
Risk-free rate		4.29	%
Expected term (in years)		1.00