Quarterly report pursuant to Section 13 or 15(d)

Warrant Liabilities (Tables)

v3.19.1
Warrant Liabilities (Tables)
6 Months Ended
Mar. 31, 2019
Warrant Liabilities [Abstract]  
Schedule of fair value of the warrant liabilities

Significant inputs into the respective model at the inception and reporting period measurement dates are as follows: 

 

Valuation Assumptions   Issuance date(1) 
August 26,
2016(4)
    Period ended
October 1,
2017(4)
    Period ended
April 1,
2018(5)
    Period ended 
September
30, 2018(5)
    Period ended
March 31,
2019(5)
 
Exercise Price(1)   $ 1.50     $ 1.50     $ 1.50     $ 1.50     $ 1.50  
Warrant Expiration Date (1)     8/26/2021       8/26/2021       8/26/2021       8/26/2021       8/26/2021  
Stock Price (2)   $ 0.95     $ 0.98     $ 1.02     $ 1.71     $ 2.00  
Interest Rate (annual) (3)     1.23 %     1.62 %     2.39 %     2.88 %     2.32 %
Volatility (annual) (4)(5)     246.44 %     179.36 %     66.25 %     64.05 %     60.54 %
Time to Maturity (Years)     5       3.9       3.4       2.9       2.4  
Calculated fair value per share   $ 0.93     $ 0.87     $ 0.38     $ 0.82     $ 0.95  

 

(1) Based on the terms provided in the warrant agreement to purchase common stock of Optex Systems Holdings, Inc. dated August 26, 2016.         

 

(2) Based on the trading value of common stock of Optex Systems Holdings, Inc. as of August 26, 2016 and each presented period ended date.

 

(3) 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.

  

(4) Based on the historical daily volatility of Optex Systems Holdings, Inc. for the term of the warrants as of August 26, 2016 and October 1, 2017. 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.

 

(5) 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. As of the period ended April 1, 2018 and the year ended September 30, 2018, 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 and converted to an adjusted historical volatility calculated from the date of the public offering. The fair value calculation was derived using the Black Scholes Merton Option Pricing model. As of March 31, 2019, the historical volatility rate calculation period is consistent with the remaining term of the warrants.

Schedule of warrants outstanding and fair values at each of the respective valuation dates

The warrants outstanding and fair values at each of the respective valuation dates are summarized below:

 

Warrant Liability   Warrants 
Outstanding
    Fair Value 
per Share
   

Fair Value 

(000’s) 

 
Fair Value as of period ended 10/01/2017     4,323,135     $ 0.87     $ 3,607  
Gain on Change in Fair Value of Warrant Liability                     (2,006
Fair Value as of period ended 4/1/2018     4,323,135     $ 0.38       1,601  
                         
Fair Value as of period ended 09/30/2018     4,260,785     $ 0.82     $ 3,500  
Loss on Change in Fair Value of Warrant Liability                     547  
Fair Value as of period ended 3/31/2019     4,260,785     $ 0.95       4,047