Quarterly report pursuant to Section 13 or 15(d)

Warrant Liabilities (Details)

v3.10.0.1
Warrant Liabilities (Details) - Warrant [Member]
Dec. 30, 2018
$ / shares
Sep. 30, 2018
$ / shares
Dec. 31, 2017
$ / shares
Oct. 01, 2017
$ / shares
Aug. 26, 2016
$ / shares
Fair value measurement input         1.50
Warrant Expiration Date [2] Aug. 26, 2021 [1] Aug. 26, 2021 [1] Aug. 26, 2021 [3] Aug. 26, 2021 Aug. 26, 2021 [3]
Time to Maturity (Years)         2 years 8 months 12 days
Calculated fair value per share $ 0.50 [1] $ 0.82 [1] $ 0.96 [3] $ 0.87 [3] $ 0.93 [3]
Excise Price [Member]          
Fair value measurement input [2] 1.50 [1] 1.50 [1] 1.50 [3] 1.50 [3] 1.50
Time to Maturity (Years) [Member]          
Time to Maturity (Years) 2 years 8 months 12 days [1] 2 years 10 months 24 days [1] 3 years 8 months 12 days [3] 3 years 10 months 24 days [3] 5 years [3]
Volatility (annual) [Member]          
Fair value measurement input [1],[3] 0.6295 0.6405 1.7104 1.7936 2.4644
Stock Price [Member]          
Fair value measurement input [4] 1.32 [1] 1.71 [1] 1.10 [3] 0.98 [3] 0.95 [3]
Interest Rate (annual) [Member]          
Fair value measurement input [5] 0.0249 [1] 0.0288 [1] 0.0198 [3] 0.0162 [3] 0.0123 [3]
[1] Based on the historical daily volatility of Optex Systems Holdings, Inc. from the consummation of the public raise on August 26, 2016 through the current presented measurement date. The company determined that the historical volatility prior to the August 26, 2016 public offering was not representative of the current market expectations due to the significant change in company capital structure and increase in public float shares (liquidity) arising from the common stock issued during the public offering and concurrent conversions of outstanding preferred shares into common stock. The fair value calculation was derived using the Black Scholes Merton Option Pricing model.
[2] Based on the terms provided in the warrant agreement to purchase common stock of Optex Systems Holdings, Inc. dated August 26, 2016.
[3] Based on the historical daily volatility of Optex Systems Holdings, Inc. for the term of the warrants as of August 26, 2016 and each presented period ended date through April 1, 2018. The original fair value calculations were derived using the Binomial model, however, the yielded results were consistent with fair market valuation using the Black Scholes Merton Option Pricing model for each of the respective periods.
[4] Based on the trading value of common stock of Optex Systems Holdings, Inc. as of August 26, 2016 and each presented period ended date.
[5] Interest rate for U.S. Treasury Bonds, as of August 26, 2016 and each presented period ended date, as published by the U.S. Federal Reserve.