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Fair Value Measurements
 9 Months Ended
Sep. 30, 2025
Fair Value Measurements  
Fair Value Measurements

(3) Fair Value Measurements

The Company measures certain assets and liabilities at fair value in accordance with ASC 820, Fair Value Measurements and Disclosures. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability (the exit price) in an orderly transaction between market participants at the measurement date. The guidance in ASC 820 outlines a valuation framework and creates a fair value hierarchy that serves to increase the consistency and comparability of fair value measurements and the related disclosures. In determining fair value, the Company maximizes the use of quoted prices and observable inputs. Observable inputs are inputs that market participants would use in pricing the asset or liability based on market data obtained from independent sources. The fair value hierarchy is broken down into three levels based on the source of inputs as follows:

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Level 1—Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities.

Level 2—Valuations based on observable inputs and quoted prices in active markets for similar assets and liabilities.

Level 3—Valuations based on unobservable inputs and models that are supported by little or no market activity.

The following table provides the carrying value and fair value of certain financial assets and liabilities of the Company measured at fair value on a recurring basis as of September 30, 2025 and December 31, 2024:

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​

​

​

​

​

​

​

​

​

​

​

    

​

​

    

Fair Value Measurement at

​

​

​

​

​

September 30, 2025

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​

Carrying Value

​

Level 1

​

Level 2

​

Level 3

Assets:

​

​

​

​

​

​

​

​

​

​

​

​

Cash equivalents

​

$

507,743

​

$

507,743

​

$

—

​

$

—

Total assets measured and recorded at fair value

​

$

507,743

​

$

507,743

​

$

—

​

$

—

Liabilities:

​

​

​

​

​

​

​

​

​

​

​

​

Warrant liability

​

$

299,000

​

$

—

​

$

—

​

$

299,000

Total liabilities measured and recorded at fair value

​

$

299,000

​

$

—

​

$

—

​

$

299,000

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

    

​

​

    

Fair Value Measurement at

​

​

​

​

​

December 31, 2024

​

​

Carrying Value

​

Level 1

​

Level 2

​

Level 3

Assets:

​

​

​

​

​

​

​

​

​

​

​

​

Cash equivalents

​

$

491,006

​

$

491,006

​

$

—

​

$

—

Total assets measured and recorded at fair value

​

$

491,006

​

$

491,006

​

$

—

​

$

—

Liabilities:

​

​

​

​

​

​

​

​

​

​

​

​

Warrant liability

​

$

737,000

​

$

—

​

$

—

​

$

737,000

Total liabilities measured and recorded at fair value

​

$

737,000

​

$

—

​

$

—

​

$

737,000

​

The Company did not transfer any financial instruments into or out of Level 3 classification, during the three or nine months ended September 30, 2025 and 2024.

(a) Canaccord Warrants

The common stock warrants issued in connection with the Company’s equity raise in November 2023 (“Canaccord Warrants”) were classified as liabilities at the time of issuance due to certain cash settlement adjustment features that are outside of the Company’s control or not deemed to be indexed to the Company’s stock. The Canaccord Warrant liability is remeasured each reporting period with the change in fair value recorded to other income (expense) in the statements of operations until the warrants are exercised, expired, reclassified, or otherwise settled. From their date of issuance until the period ended September 30, 2024, the fair value of the Canaccord Warrants were estimated using a Monte Carlo simulation model, given the performance conditions outlined further below. However, during the period ended September 30, 2024, the Company determined that certain performance conditions could not be met and that going forward, their use as inputs for determining fair value was no longer appropriate. As such, after the period ended September 30, 2024, the fair value of the Canaccord Warrants was estimated using a Black-Scholes option-pricing model.

The estimated fair value of the Canaccord Warrants is determined using Level 3 inputs. Inherent in a Black-Scholes option-pricing model are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and other inputs. The Company estimates the volatility of its warrants based on implied volatility from the Company’s traded warrants. The risk-free interest rate is based on the market yield of U.S. Treasuries over a term commensurate with the remaining term to expiration. Any changes in these assumptions can change the associated valuation significantly.

The following tables provide quantitative information regarding the Level 3 classified Canaccord Warrants as of their respective measurement dates:

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​

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​

​

​

​

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​

​

September 30, 2025

    

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December 31, 2024

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Exercise price

​

​

​

$

9.00

​

​

$

9.00

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Closing stock price

​

​

​

$

2.07

​

​

$

5.03

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Number of warrants

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​

​

 

308,333

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​

 

308,333

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Volatility

​

​

​

 

118

%

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80

%

Term (time to expiration in years)

​

​

​

 

3.09

​

​

 

3.84

​

Risk-free rate

​

​

​

 

3.7

%

​

 

4.3

%

​

The Canaccord Warrants have an exercise price of $9.00 per unit, and were redeemable at the Company’s option, in whole or in part, at a redemption price equal to $0.001 per Warrant upon 30 days’ prior written notice, at any time after:

●the Company’s public announcement of Positive Topline Data (as defined in the Warrant Agreement) from its Phase 3 study in patients with Parkinson’s Disease; and
●the date on which (a) the closing price of the Company’s common stock on the principal exchange or trading facility on which it is then traded has equaled or exceeded $14.25 and (b) the average daily trading value (“ADTV”) of the Company’s common stock is equal to or exceeds $2,000,000, for two consecutive Trading Days.

During the quarter ended September 30, 2024, the Company released topline data from its Phase 3 study in patients with Parkinson’s Disease. It was determined that based on the data, both criteria above required for redemption of the Canaccord Warrants were not met.

The common stock warrants are exercisable immediately and will expire on November 2, 2028, five years from the date of issuance. See Note 7 – Stockholders’ Equity for additional background.