Quarterly report pursuant to Section 13 or 15(d)

Warrant Liabilities (Details 1)

v3.19.1
Warrant Liabilities (Details 1) - USD ($)
$ / shares in Units, $ in Thousands
 3 Months Ended 6 Months Ended
Mar. 31, 2019
Apr. 01, 2018
Mar. 31, 2019
Apr. 01, 2018
Sep. 30, 2018
Oct. 01, 2017
Aug. 26, 2016
 [2],[3]
Warrant Liability $ 4,047   $ 4,047   $ 3,500    
(Gain) Loss on Change in Fair Value of Warrants $ (1,932) $ 2,350 $ (547) $ 2,006      
Warrant [Member]              
Warrants Outstanding 4,260,785 4,323,135 4,260,785 4,323,135 4,260,785 4,323,135  
Fair Value per Share $ 0.95 [1] $ 0.38 $ 0.95 [1] $ 0.38 $ 0.82 [1] $ 0.87 [2] $ 0.93
Warrant Liability $ 4,047 $ 1,601 $ 4,047 $ 1,601 $ 3,500 $ 3,607  
(Gain) Loss on Change in Fair Value of Warrants $ 1,932 $ (2,350) $ 547 $ (2,006)      
[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. 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.
[2] 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.
[3] Based on the terms provided in the warrant agreement to purchase common stock of Optex Systems Holdings, Inc. dated August 26, 2016.