Quarterly report pursuant to Section 13 or 15(d)

Fair Value Considerations (Tables)

v3.22.1
Fair Value Considerations (Tables)
3 Months Ended
Mar. 31, 2022
Fair Value Considerations [Abstract]  
Schedule of ranges of values used and fair value determined

The following table sets forth the fair values we calculated and the ranges of values used in our Black Scholes calculations for stock options, other than ESPP awards.

 

 

March 31,

 

Three Months Ended March 31,

 

 

2022

 

2022

 

2021

Share prices of our common stock

 

$5.86

 

$3.88 - $5.86

 

$22.41 - $64.29

Expected volatilities

 

44.74%

 

44.42% - 48.51%

 

41.50% - 41.50%

Risk-free rates of return

 

2.38%

 

1.66% - 2.39%

 

1.05% - 1.05%

Expected option terms (years)

 

5.31

 

5.31 - 6.00

 

6.00 - 6.00

Calculated option values

 

$2.68

 

$0.69 - $3.44

 

$18.52 - $18.52

The table below sets forth the inputs we used in our Black Scholes models for Private Warrants valuations and the fair values determined.

 

 

March 31,
2022

 

 

December 31, 2021

 

Share price of our common stock

 

$

5.86

 

 

$

8.52

 

Expected volatility

 

 

49.4

%

 

 

47.6

%

Risk-free rate of return

 

 

2.41

%

 

 

1.11

%

Expected warrant term (years)

 

 

3.75

 

 

 

3.99

 

Fair value determined per warrant

 

$

1.17

 

 

$

2.45