Derivative Liabilities (Tables)
|
9 Months Ended |
Sep. 30, 2022 |
|---|
| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
|
| Schedule of fair value of Level 3 derivative liabilities on recurring basis |
| |
|
Warrants |
|
|
|
|
| |
|
Public |
|
|
Private |
|
|
|
|
|
|
|
|
|
|
| |
|
SPAC |
|
|
SPAC |
|
|
PIPE |
|
|
Other |
|
|
Total |
|
| Balance as of January 1, 2022 |
|
$ |
8,048,850 |
|
|
$ |
467,325 |
|
|
$ |
6,516,300 |
|
|
$ |
187,892 |
|
|
$ |
15,220,367 |
|
| Change in fair value of derivative liabilities |
|
|
(1,852,650 |
) |
|
|
(251,250 |
) |
|
|
(3,044,800 |
) |
|
|
(81,414 |
) |
|
|
(5,230,114 |
) |
| Balance as of March 31, 2022 |
|
|
6,196,200 |
|
|
|
216,075 |
|
|
|
3,471,500 |
|
|
|
106,478 |
|
|
|
9,990,253 |
|
| Change in fair value of derivative liabilities |
|
|
(4,357,350 |
) |
|
|
(185,925 |
) |
|
|
(2,849,900 |
) |
|
|
(94,363 |
) |
|
|
(7,487,538 |
) |
| Balance as of June 30, 2022 |
|
|
1,838,850 |
|
|
|
30,150 |
|
|
|
621,600 |
|
|
|
12,115 |
|
|
|
2,502,715 |
|
| Change in fair value of derivative liabilities |
|
|
(1,246,600 |
) |
|
|
(10,050 |
) |
|
|
(188,000 |
) |
|
|
(5,258 |
) |
|
|
(1,449,908 |
) |
| Balance as of September 30, 2022 |
|
$ |
592,250 |
|
|
$ |
20,100 |
|
|
$ |
433,600 |
|
|
$ |
6,857 |
|
|
$ |
1,052,807 |
|
|
| Schedule of black scholes option pricing model |
| |
|
September 30,
2022 |
|
| Risk-free interest rate |
|
|
4.16% - 4.24 |
% |
| Expected term in years |
|
|
1.84 - 3.40 |
|
| Expected volatility |
|
|
76.00% - 95.00 |
% |
| Expected dividends |
|
|
0 |
% |
| Market Price |
|
$ |
0.67 |
|
| |
|
December 31,
2021 |
|
| Risk-free interest rate |
|
|
0.85% - 1.14 |
% |
| Expected term in years |
|
|
2.59 – 4.15 |
|
| Expected volatility |
|
|
98.5 |
% |
| Expected dividends |
|
|
0 |
% |
| Market Price |
|
$ |
3.90 |
|
|
| Schedule of warrant activity |
| |
|
Number of
Warrants |
|
|
Weighted
Average
Exercise
Price |
|
|
Weighted
Average
Remaining
Life in
Years |
|
|
Intrinsic
Value |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Outstanding, December 31, 2021 |
|
|
11,153,908 |
|
|
$ |
9.06 |
|
|
|
4.1 |
|
|
$ |
- |
|
| Issued |
|
|
8,764,152 |
|
|
|
0.74 |
|
|
|
5.3 |
|
|
|
1,750,067 |
|
| Exercised |
|
|
(1,547,076 |
) |
|
|
0.0001 |
|
|
|
- |
(1) |
|
|
(1,028,651 |
) |
| Cancelled |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
| Expired |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
| Outstanding, September 30, 2022 |
|
|
18,370,984 |
|
|
$ |
5.77 |
|
|
|
3.8 |
(1) |
|
$ |
721,417 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Exercisable, September 30, 2022 |
|
|
12,238,908 |
|
|
$ |
8.13 |
|
|
|
3.0 |
|
|
|
721,417 |
|
|
(1) |
Note that the July 2022 Pre-funded Warrants are exercisable until
they are exercised in full and have no expiration date; as such, they have been excluded from this calculation. |
|
(1) |
Note that the July 2022 Common Warrants are exercisable for 5
years following the initial exercise date, which is six months following the closing of the July 2022 Offering, or January 20, 2023. |
|
(2) |
Note that the July 2022 Pre-funded Warrants are exercisable until
they are exercised in full and have no expiration date; as such, they have been excluded from this calculation. |
|
| Schedule of outstanding and exercisable warrants |
| Warrants Outstanding |
|
|
Warrants Exercisable |
|
| |
|
|
|
|
|
Weighted |
|
|
|
|
| |
|
|
|
|
|
Average |
|
|
|
|
| Exercise |
|
|
Number of |
|
|
Remaining |
|
|
Number of |
|
| Price |
|
|
Shares |
|
|
Life in Years |
|
|
Shares |
|
| $ |
5.00 |
|
|
|
2,564,000 |
|
|
|
3.4 |
|
|
|
2,564,000 |
|
| $ |
5.28 |
|
|
|
63,658 |
|
|
|
2.6 |
|
|
|
63,658 |
|
| $ |
7.07 |
|
|
|
25,000 |
|
|
|
1.8 |
|
|
|
25,000 |
|
| $ |
7.50 |
|
|
|
2,500,000 |
|
|
|
3.9 |
|
|
|
2,500,000 |
|
| $ |
11.50 |
|
|
|
6,001,250 |
|
|
|
3.1 |
|
|
|
6,001,250 |
|
| $ |
1.06 |
|
|
|
6,132,076 |
|
|
|
- |
(1) |
|
|
- |
(1) |
| $ |
0.0001 |
|
|
|
1,085,000 |
|
|
|
- |
(2) |
|
|
1,085,000 |
|
| |
|
|
|
|
18,370,984 |
|
|
|
3.3 |
(1) |
(2) |
|
12,238,908 |
|
|