The following table summarizes the key assumptions used in estimating the fair value of the SARs at June 29, 2026, and December 31, 2025:
| | | | | | | | | | | | | | | June 29, 2026 | | | | December 31, 2025 | | Expected term (years) | 0.09-2.71 | | | | 1.00-2.40 | | Risk-free interest rate | 4.02%-4.34% | | | | 3.64%-4.11% | | Stock price volatility | 85%-110% | | | | 65%-115% | | | | | | | | Probability (1) | 50%-50% | | | | 50%-50% | | Dividend rate | —% | | | | —% | | | | | | |
(1) Scenario probability was based on timing expectations of the Company that a corporate transaction occurring was estimated at 50%; and a corporate transaction not occurring at 50%. The following are the underlying assumptions used in the Black-Scholes option pricing model to determine the fair value of stock options granted to employees and to non-employees under this stock plan: | | | | | | | | | | Six Months Ended June 30, | | 2026 | 2025 | | Risk-free interest rate | 4.20% | 4.14% | | Expected dividend yield | 0% | 0% | | Expected volatility | 109.4% | 116.0% | | Expected term of options (years) | 5.80 | 5.91 |
The following table summarizes the key assumptions used in estimating the fair value of the SARs at June 29, 2026 which was the date the SARs were reclassified to equity and December 31, 2025:
| | | | | | | | | | | | | | | June 29, 2026 | | | | December 31, 2025 | | Expected term (years) | 0.09-2.71 | | | | 1.00-2.40 | | Risk-free interest rate | 4.02%-4.34% | | | | 3.64%-4.11% | | Stock price volatility | 85%-110% | | | | 65%-115% | | | | | | | | Probability (1) | 50%-50% | | | | 50%-50% | | Dividend rate | —% | | | | —% | | | | | | |
(1) Scenario probability was based on timing expectations of the Company that a corporate transaction occurring was estimated at 50%; and a corporate transaction not occurring at 50%.
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