Fair Value Measurement of Financial Instruments |
6 Months Ended | ||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2026 | |||||||||||||||||||||||||||||||
| Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||
| Fair Value Measurement of Financial Instruments | 12. Fair Value Measurement of Financial Instruments
Warrants
The Company utilizes a Black-Scholes option-pricing model to compute the fair value of the warrant liability and to mark to market the fair value of the warrant at each balance sheet date. The inputs utilized in the application of the Black-Scholes option-pricing model included (i) an exercise price of $ per share, (ii) an expected remaining term of each warrant based on the remaining contractual maturity of each warrant, (iii) estimated volatility ranging from 89.1% to 94.7% based on historical stock prices of comparable companies with a look back period commensurate with the period to maturity, (iv) a risk-free interest rate ranging from 3.72% to 4.22% based on the interest rates of U.S. Treasury Notes consistent with the expected remaining contract term and (v) a 0% expected dividend yield as the Company has not paid dividends to date and does not anticipate declaring dividends in the near future.
The following are the changes in the warrant liabilities during the six months ended June 30, 2026 and year ended December 31, 2025:
ESPP Floating Lookback Option
The Company utilizes a Monte Carlo simulation model to compute the fair value of the ESPP floating lookback option which is expensed pro rata over each six-month offering period. The inputs utilized in the application of the Monte Carlo simulation model included (i) a stock price ranging from $ to $ subject to a 15% discount, (ii) an expected remaining term of 6 months, (iii) estimated volatility ranging from 89.1% to 90.9% based on historical stock prices of comparable companies with a lookback period commensurate with the offering period, (iv) a risk-free interest rate ranging from 3.69% to 3.94% based on interest rates of U.S. Treasury Notes consistent with the offering period and (v) a 0% expected dividend yield as the Company has not paid dividends and does not anticipate declaring dividends in the near future.
The Company recorded the fair value of the ESPP floating lookback option as stock-based compensation expense totaling $ and $ for the three months ended June 30, 2026 and 2025, respectively, and $ and $ for the six months ended June 30, 2026 and 2025, respectively.
|
||||||||||||||||||||||||||||||