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Fair Value Measurements (Tables) | 9 Months Ended | 12 Months Ended
--- | --- | ---
Sep. 30, 2022 | Dec. 31, 2021
Schedule of valued using the compound option pricing model |  | The assumptions used in the Black-Scholes option-pricing method related to options issued to employees and nonemployees for the years ended 2020 and 2019 is set forth below:
|  | Year Ended December 31, |
| 2020 |  |  | 2019 |
Weighted-average grant date fair value |  |  | $0.83 |  |  |  | $0.87 |
Expected dividend yield |  |  | 0.00% |  |  |  | 0.00% |
Expected stock-price volatility |  |  | 90.00% |  |  |  | 89.00% - 104.00% |
Risk-free interest rate |  |  | 0.53% |  |  |  | 1.63% - 2.50% |
Term of options |  |  | 5.60 |  |  |  | 5.76 - 6.08 |
Fair value per share of common stock on date of grant |  |  | $1.16 |  |  |  | $1.16 |
Exercise price |  |  | $1.16 |  |  |  | $1.16 |
Fair Value Measurements, Recurring and Nonrecurring [Table Text Block] | The following table presents the Company’s financial assets and liabilities that are measured at fair value (in thousands):
|  | Fair value measurements at September 30, 2022 |
|  | Balance |  |  | Quoted Prices in Active Markets (Level 1) |  |  | Significant Other Observable Inputs (Level 2) |  |  | Significant Unobservable Inputs (Level 3) |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash and cash equivalents |  | $ | 2,483 |  |  | $ | 2.483 |  |  | $ | — |  |  | $ | — |
Total assets measured at fair value |  | $ | 2,483 |  |  | $ | 2.483 |  |  | $ | — |  |  | $ | — |
|  | Fair value measurements at December 31. 2021 |
| Balance |  |  | Quoted Prices in Active Markets (Level 1) |  |  | Significant Other Observable Inputs (Level 2) |  |  | Significant Unobservable Inputs (Level 3) |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash and cash equivalents |  | $ | 4,338 |  |  | $ | 4,338 |  |  | $ | — |  |  | $ | — |
Total assets measured at fair value |  | $ | 4,338 |  |  | $ | 4,338 |  |  | $ | — |  |  | $ | — |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative liabilities |  | $ | 35,700 |  |  | $ | — |  |  | $ | — |  |  | $ | 35,700 |
Total liabilities measured at fair value |  | $ | 35,700 |  |  | $ | — |  |  | $ | — |  |  | $ | 35,700 |
| The following table presents the Company’s financial assets and liabilities that are measured at fair value (in thousands):
|  | Fair value measurements at December 31, 2021 |
| Balance |  |  | Quoted Prices in Active Markets (Level 1) |  |  | Significant Other Observable Inputs (Level 2) |  |  | Significant Unobservable Inputs (Level 3) |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash and cash equivalents |  | $ | 4,338 |  |  | $ | 4,338 |  |  | $ | — |  |  | $ | — |
Total assets measured at fair value |  |  | 4,338 |  |  |  | 4,338 |  |  |  | — |  |  |  | — |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative liabilities |  |  | 35,700 |  |  |  | — |  |  |  | — |  |  |  | 35,700 |
Total liabilities measured at fair value |  | $ | 35,700 |  |  | $ | — |  |  | $ | — |  |  | $ | 35,700 |
|  | Fair value measurements at December 31, 2020 |
|  | Balance |  |  | Quoted Prices in Active Markets (Level 1) |  |  | Significant Other Observable Inputs (Level 2) |  |  | Significant Unobservable Inputs (Level 3) |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash and cash equivalents |  | $ | 4,839 |  |  | $ | 4,839 |  |  | $ | — |  |  | $ | — |
Total assets measured at fair value |  |  | 4,839 |  |  |  | 4,839 |  |  |  |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative liabilities |  |  | 35,400 |  |  |  | — |  |  |  | — |  |  |  | 35,400 |
Total liabilities measured at fair value |  | $ | 35,400 |  |  | $ | — |  |  | $ | — |  |  | $ | 35,400 |
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block] | The following table includes a summary of the derivative liabilities measured at fair value using significant unobservable inputs (Level 3) during the nine months ended September 30, 2022:
|  | Fair value |
Balance at December 31, 2021 |  | $ | 35,700 |
Change in fair value measurement |  |  | (35,700 | )
Balance at September 30, 2022 |  | $ | — |
| The following table includes a summary of the derivative liabilities measured at fair value using significant unobservable inputs (Level 3) during the years ended December 31, 2021, 2020 and 2019:
|  | Fair value |
Beginning Balance at December 31, 2018 |  | $ | — |
Additions |  |  | 10,100 |
Re-measurement of fair value |  |  | 23,300 |
Ending Balance at December 31, 2019 |  |  | 33,400 |
Additions |  |  | 2,800 |
Re-measurement of fair value |  |  | (800 | )
Ending Balance at December 31, 2020 |  |  | 35,400 |
Additions |  |  | — |
Re-measurement of fair value |  |  | 300 |
Ending Balance at December 31, 2021 |  | $ | 35,700 |
Vicker's Vantage |  |
Schedule of fair value hierarchy of the valuation inputs |
Description |  | Level |  |  | September 30, 2022 |  |  | December 31, 2021 |
Assets: |  |  |  |  |  |  |  |  |  |  |  |
Investments held in Trust Account – U.S. Treasury Securities Money Market Fund |  |  | 1 |  |  | $ | 101,293,086 |  |  | $ | 139,410,739 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Warrant Liability – Private Placement Warrants |  |  | 3 |  |  | $ | 1,162,800 |  |  | $ | 3,351,600 |
Conversion Option Liability (see Note 5) |  |  | 3 |  |  | $ | — |  |  | $ | 6,892 |
Description |  | Level |  |  | December 31, 2021 |
Assets: |  |  |  |  |  |  |  |
Investments held in Trust Account — U.S. Treasury Securities Money Market Fund |  |  | 1 |  |  | $ | 139,410,739 |
Liabilities: |  |  |  |  |  |  |  |
Warrant Liability — Private Placement Warrants |  |  | 3 |  |  | $ | 3,351,600 |
Conversion Option Liability (see Note 5) |  |  | 3 |  |  | $ | 6,892 |
Schedule of quantitative information regarding Level 3 fair value measurements |
|  | As of September 30, 2022 |  |  | As of December 31, 2021 |
Stock price |  | $ | 10.33 |  |  | $ | 10.04 |
Strike price |  | $ | 11.50 |  |  | $ | 11.50 |
Term (in years) |  |  | 5.00 |  |  |  | 5.28 |
Volatility |  |  | 0.0 | % |  |  | 8.3 | %
Risk-free rate |  |  | 4.03 | % |  |  | 1.28 | %
Dividend yield |  |  | 0.0 | % |  |  | 0.0 | %
Fair value of warrants |  | $ | 0.17 |  |  | $ | 0.49 |
|  | As of December 31, 2021 |
Stock price |  | $ | 10.04 |
Strike price |  | $ | 11.50 |
Term (in years) |  |  | 5.28 |
Volatility |  |  | 8.3 | %
Risk-free rate |  |  | 1.28 | %
Dividend yield |  |  | 0.0 | %
Fair value of warrants |  | $ | 0.49 |
Schedule of changes in the fair value of warrant liabilities |
|  | Private Placement |
Fair value as of January 1, 2021 |  | $ | — |
Initial measurement on January 11, 2021 |  |  | 7,729,200 |
Change in valuation inputs or other assumptions |  |  | (4,104,000 | )
Fair value of as of March 31, 2021 |  |  | 3,625,200 |
Change in valuation inputs or other assumptions |  |  | 68,400 |
Fair value of as of June 30, 2021 |  |  | 3,693,600 |
Change in valuation inputs or other assumptions |  |  | 1,162,800 |
Fair value of as of September 30, 2021 |  |  | 4,856,400 |
Change in valuation inputs or other assumptions |  |  | (1,504,800 | )
Fair value of as of December 31, 2021 |  |  | 3,351,600 |
Change in valuation inputs or other assumptions |  |  | 410,400 |
Fair value as of March 31, 2022 |  |  | 3,762,000 |
Change in valuation inputs or other assumptions |  |  | (2,530,800 | )
Fair value as of June 30, 2022 |  |  | 1,231,200 |
Change in valuation inputs or other assumptions |  |  | (68,400 | )
Fair value as of September 30, 2022 |  | $ | 1,162,800 |
|  | Conversion Option Liability |
Fair value as of January 1, 2021 |  | $ | — |
Initial measurement on December 20, 2021 |  |  | 18,727 |
Change in valuation inputs or other assumptions |  |  | (11,835 | )
Fair value of as of December 31, 2021 |  |  | 6,892 |
Initial measurement on January 10, 2022 |  |  | — |
Initial measurement on January 27, 2022 |  |  | — |
Change in valuation inputs or other assumptions |  |  | 69,896 |
Fair value as of March 31, 2022 |  |  | 76,788 |
Change in valuation inputs or other assumptions |  |  | (76,788 | )
Fair value as of June 30, 2022 and September 30, 2022 |  | $ | — |
|  | Private Placement |
Fair value as of January 1, 2021 |  | $ | — |
Initial measurement on January 11, 2021 |  |  | 7,729,200 |
Change in valuation inputs or other assumptions |  |  | (4,377,600 | )
Fair value as of December 31, 2021 |  | $ | 3,351,600 |
Schedule of valued using the compound option pricing model |
|  | As of September 30, 2022 |  |  | As of December 31, 2021 |
Underlying warrant value |  | $ | 0.0000 |  |  | $ | 0.0103 |
Exercise price |  | $ | 0.75 |  |  | $ | 0.75 |
Holding period |  |  | 0.50 |  |  |  | 0.28 |
Risk-free rate |  |  | 4.03 | % |  |  | 1.28 | %
Volatility |  |  | 5.3 | % |  |  | 8.3 | %
Dividend yield |  |  | 0.0 | % |  |  | 0.0 | %
|  | December 31, 2021 |  |  | December 20, 2021 (Initial Measurement) |
Underlying warrant value |  | $ | 0.0103 |  |  | $ | 0.0281 |
Exercise price |  | $ | 0.75 |  |  | $ | 0.75 |
Holding period |  |  | 0.28 |  |  |  | 0.31 |
Risk-free rate % |  |  | 1.28 | % |  |  | 1.19 | %
Volatility% |  |  | 8.3 | % |  |  | 9.3 | %
Dividend yield % |  |  | 0.0 | % |  |  | 0.0 | %
Schedule of change in the fair value of conversion option liability |  |
Fair value as of January 1, 2021 |  | $ | — |
Initial measurement on December 20, 2021 |  |  | 18,727 |
Change in fair value |  |  | (11,835 | )
Fair value as of December 31, 2021 |  | $ | 6,892 |

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- Definition Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19279-110258 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2C -URI https://asc.fasb.org/extlink&oid=126976982&loc=SL7498348-110258 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bb) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of assets, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of all significant concentrations of risk, including credit risk and market risk, arising from all financial instruments (as defined), whether from an individual counterparty or groups of counterparties. The disclosure concerning concentrations of risk may consist of the following information: (1) for concentrations of credit risk disclosure may include: (a) information about the (shared) activity, region, or economic characteristic that identifies the concentration, (b) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the entity would incur if parties to the financial instruments that make up the concentration failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the entity, (c) the policy of requiring collateral or other security to support financial instruments subject to credit risk, information about the entity's access to that collateral or other security, and the nature and a brief description of the collateral or other security supporting those financial instruments, and (d) the policy of entering into master netting arrangements to mitigate the credit risk of financial instruments, information about the arrangements for which the entity is a party, and a brief description of the terms of those arrangements, including the extent to which they would reduce the entity's maximum amount of loss due to credit risk and (2) for disclosure of quantitative information about the market risks of financial instruments that is consistent with the way the company manages or adjusts those risks, disclosure may include: (a) more details about current positions and perhaps activity during the period, (b) the hypothetical effects on comprehensive income (or net assets), or annual income, of several possible changes in market prices, (c) a gap analysis of interest rate re-pricing or maturity dates, (d) the duration of the financial instruments, (e) the entity's value at risk from derivatives and from other positions at the end of the reporting period and the average value at risk during the year, or (f) other ways of reporting quantitative information as internally developed. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 22 -URI https://asc.fasb.org/extlink&oid=123594938&loc=d3e13572-108611 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 20 -URI https://asc.fasb.org/extlink&oid=123594938&loc=d3e13531-108611 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 23 -URI https://asc.fasb.org/extlink&oid=123594938&loc=d3e13587-108611 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 21 -URI https://asc.fasb.org/extlink&oid=123594938&loc=d3e13537-108611 + Details
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