Quarterly report pursuant to Section 13 or 15(d)

Derivative Liability (Tables)

v3.21.2
Derivative Liability (Tables)
 9 Months Ended
Sep. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Fair Value of Derivative Liability Using Black Scholes Valuation Model

The fair value of the derivative liability presented below was measured using the Black Scholes valuation model. Significant inputs into the model for the nine months ended September 30, 2021 are as follows:

 

    September 30, 2021  
Dividend yield     0.00 %
Risk-free interest rate     0.6% - 0.7 %
Expected volatility     121.2 % - 124.0 %
Expected life (in years)     2  
Schedule of Fair Value of Warrant Liability

The warrants outstanding and fair values at each of the respective valuation dates are summarized below:

 

Warrant Liability   Warrants Outstanding     Fair Value Per Share     Fair Value  
Fair Value at initial measurement date of March 26, 2021     2,190,000     $ 2.61     $ 5,708,212  
(Gain) on change in Fair Value of Warrant Liability     -     $ -       (1,092,441 )
Fair Value as of May 24, 2021     2,190,000     $ 2.11       4,615,771  
Extinguishment of Derivative Liability     (2,190,000 )   $ 2.11       (4,615,771 )
Fair Value as of September 30, 2021     -     $ -       -