WARRANT LIABILITY

9 Months Ended

Sep. 30, 2022

Note 10

WARRANT LIABILITY

In conjunction with the Merger, outstanding warrants to purchase Helix common stock were converted to warrants to purchase Company common stock. As the warrant holders have the option to receive cash in lieu of common stock in certain circumstances, the Company determined that the warrants require classification as a liability pursuant to ASC 815-40. In accordance with the applicable accounting guidance, the outstanding warrants are recognized as a warrant liability on the condensed consolidated balance sheet and are measured at their inception date fair value (the closing date of the Merger) and subsequently re-measured at each reporting period with changes being recorded in the condensed consolidated statement of operations. As of September 30, 2022, the Company had 92,058 warrants outstanding classified as liabilities.

The fair value of the Company’s warrant liability was calculated using the Black-Scholes model and the following assumptions:

	As of September 30, 2022		As of December 31, 2021
Fair value of company's common stock	$	3.35	$	9.02
Dividend yield		0%		0%
Expected volatility		104% - 134%		118% - 149%
Risk Free interest rate		3.81% - 4.23%		0.06% - 0.97%
Expected life (years)		1.16		1.82
Exercise price	$	8.00 - $28.00	$	8.00 - $28.00
Fair value of financial instruments - warrants	$	26,079	$	369,234

The change in fair value of the financial instruments – warrants is as follows:

	Amount
Balance as of January 1, 2022	$	369,234

Change in fair value of warrant liability		(343,155	)

Balance as of September 30, 2022	$	26,079

	Amount
Balance as of January 1, 2021	$	—

Fair value of warrant liability assumed in connection with Helix Merger		1,247,715

Change in fair value of warrant liability		(746,605	)

Balance as of September 30, 2021	$	501,110

	Amount
Balance as of July 1, 2022	$	34,618

Change in fair value of warrant liability		(8,539	)

Balance as of September 30, 2022	$	26,079

	Amount
Balance as of July 1, 2021	$	752,888

Change in fair value of warrant liability		(251,778	)

Balance as of September 30, 2021	$	501,110