v3.25.2
Note 7 - Fair Value Measurements
 6 Months Ended
Jun. 30, 2025
Notes to Financial Statements  
Fair Value Disclosures [Text Block]

7.   FAIR VALUE MEASUREMENTS

 

The following tables provide a summary of the assets and liabilities that are required to be measured at fair value on a recurring basis and where they are classified within the fair value hierarchy as of June 30, 2025 and December 31, 2024:

 

   

June 30, 2025

  
   

Level 1

    

Level 2

    

Level 3

    

Total

  

Assets:

                                

Money market funds (cash equivalents)

   $ 9,023,476     $ —     $ —     $ 9,023,476  

Total assets measured and recorded at fair value

   $ 9,023,476     $ —     $ —     $ 9,023,476  

Liabilities:

                                

Warrant liabilities

   $ —     $ —     $ 16,690     $ 16,690  

Total liabilities measured and recorded at fair value

   $ —     $ —     $ 16,690     $ 16,690  

 

   

December 31, 2024

  
   

Level 1

    

Level 2

    

Level 3

    

Total

  

Assets:

                                

Money market funds (cash equivalents)

   $ 12,203,627     $ —     $ —     $ 12,203,627  

Total assets measured and recorded at fair value

   $ 12,203,627     $ —     $ —     $ 12,203,627  

Liabilities:

                                

Warrant liabilities

   $ —     $ —     $ 89,010     $ 89,010  

Total liabilities measured and recorded at fair value

   $ —     $ —     $ 89,010     $ 89,010  

 

The following table summarizes the changes in the fair value of the warrant liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3):

 

   

Three Months Ended June 30,

   

Six Months Ended June 30,

  
   

2025

    

2024

    

2025

    

2024

  

Balance, beginning of period

   $ 27,816     $ 350,478     $ 89,010     $ 806,655  

Change in fair value of warrant liabilities

     (11,126 )     (200,273 )     (72,320 )     (656,450 )

Balance, end of period

   $ 16,690     $ 150,205     $ 16,690     $ 150,205  

 

In prior years, the Company issued warrants to purchase 556,313 shares of common stock in a private-placement (the "Private Warrants") and classified the warrants as derivative liabilities, pursuant to ASC 815, as the Private Warrants have an exercise price that is subject to potential adjustment, with subsequent changes in their fair values to be recognized in the condensed consolidated statement of operations at each reporting date. The Company calculated the fair value of the Private Warrants as of June 30, 2025 and December 31, 2024 as $16,690 and $89,010, respectively, using a Lattice model. The assumptions and key inputs used in the Lattice calculation were the following:

 

   

June 30, 2025

    

December 31,

2024

  

Risk-free interest rate

     4.31 %     4.17 %

Remaining expected term of Private Warrants

     0.46       0.95  

Expected volatility(1)

     266.90 %     128.70 %

Stock price on valuation date

   $ 0.38     $ 1.81  

Exercise price

   $ 11.50     $ 11.50  

Expected dividend

     — %     — %

(1) Based on volatility implied by the Company's publicly traded warrant market price.