Quarterly report pursuant to Section 13 or 15(d)

Note 4 - Warrants

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Note 4 - Warrants
3 Months Ended
Mar. 31, 2021
Notes to Financial Statements  
Warrants Disclosure [Text Block]

4. Warrants

 

Liability Classified Warrants

 

The Company uses the Black-Scholes option pricing model (BSM) to determine the fair value of its warrants at the date of issue and outstanding at each reporting date. The risk-free interest rate assumption is based upon observed interest rates on zero coupon US Treasury bonds linearly interpolated to obtain a maturity period commensurate with the term of the warrants. Estimated volatility is a measure of the amount by which the Company's stock price is expected to fluctuate each year during the expected life of the warrants. Beginning in 2020, only the volatility of the Company's own stock is used in the BSM as it now has sufficient historic data in its stock price. 

 

The assumptions used in determining the fair value of the liability classified warrants are as follows:

 

   

March 31, 2021

   

December 31, 2020

 

Risk-free interest rate

  0.1% to 0.7%     0.1% to 0.3%  

Volatility

  96.5% to 136.1%     113.7% to 127.4%  

Expected life (years)

  0.9 to 4.5     1.1 to 4.6  

Dividend yield

  —%     —%  

 

A summary of the Company's liability classified warrant activity during the three months ended March 31, 2021 and related information follows: 

 

   

Number of Shares

   

Range of Warrant Exercise

   

Weighted Average

   

Weighted Average Remaining Contractual

 
   

Under Warrant

   

Price per Share

   

Exercise Price

   

Life (Years)

 

Balance at January 1, 2021

    2,733,645     $ 6.30     $ 16.80     $ 9.45       3.6  

Granted

                             

Exercised

    (10,000 )     6.30       6.30       6.30        

Expired

                             

Balance at March 31, 2021

    2,723,645     $ 6.30     $ 16.80     $ 9.46       3.4  

Exercisable at March 31, 2021

    2,723,645     $ 6.30     $ 16.80     $ 9.46       3.4  

 

For a summary of the changes in fair value associated with the Company's warrant liability for the three months ended March 31, 2021, see Note 2 - Basis of presentation, principles of consolidation and significant accounting policies - Fair Value of Financial Instruments.

 

Equity Classified Warrants

 

At March 31, 2021 and December 31, 2020, respectively, the Company had 109,639 equity classified warrants outstanding and 85,472 warrants were exercisable.

 

There was no stock compensation expense for non-employee agreements equity classified warrants for the three months ended March 31, 2021 and 2020, respectively and $124,000 of unrecognized stock compensation expense related to the Company's equity-classified warrants.