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Warrant Liabilities

12 Months Ended

Dec. 31, 2023

12. Warrant Liabilities

The Company has evaluated financial instruments arising from an adjustable exercise price for warrants that are issued and outstanding as of December 31, 2023 and 2022.

The Company utilizes a Monte Carlo simulation model for warrants that have an option to convert at a variable number of shares to compute the fair value of the liability and to mark to market the fair value of the derivative at each balance sheet date. The inputs utilized in the application of the Monte Carlo model included a starting stock price of $7.91 per share, an expected remaining term of each warrant as of the valuation date, estimated volatility of 75%, drift, and a risk-free rate ranging from 3.46% to 59.01%.

Risk-free interest rate: The Company uses the risk-free interest rate of a U.S. Treasury Note adjusted to be on a continuous return basis to align with the Black-Scholes option-pricing model.

Dividend yield: The Company uses a 0% expected dividend yield as the Company has not paid dividends to date and does not anticipate declaring dividends in the near future.

Neuraxis, Inc.

Notes to Financial Statements

Volatility: The Company calculates the expected volatility based on comparable company’s historical stock prices with a look back period commensurate with the period to maturity.

Expected term: The Company’s remaining term is based on the remaining contractual maturity of the warrants.

The following are the changes in the warrant liabilities during the years ended December 31, 2023 and 2022.

	Level 1		Level 2		Level 3
Warrant liabilities as of January 1, 2022	$	—	$	—	$	32,102
Addition		—		—		2,808,331
Changes in fair value of warrant liabilities		—		—		(606,049	)
Warrant liabilities as of December 31, 2022		—		—		2,234,384
Addition		—		—		2,446,502
Changes in fair value of warrant liabilities		—		—		(844,854	)
Reclassified to equity		—		—		(3,827,807	)
Warrant liabilities as of December 31, 2023	$	—	$	—	$	8,225