Quarterly report pursuant to Section 13 or 15(d)

Warrant Liabilities (Tables)

Warrant Liabilities (Tables)

3 Months Ended

Dec. 29, 2019

Schedule of Fair Value Warrant Liabilities

The fair value of the warrant liabilities presented below were measured using a Black Scholes Merton (BSM) valuation model. Significant inputs into the respective model at the reporting period measurement dates are as follows:

Valuation Assumptions	Period ended September 30, 2018			Period ended December 30, 2018			Period ended September 29, 2019			Period ended December 29, 2019
Exercise Price⁽¹⁾	$	1.50		$	1.50		$	1.50		$	1.50
Warrant Expiration Date ⁽¹⁾		8/26/2021			8/26/2021			8/26/2021			8/26/2021
Stock Price ⁽²⁾	$	1.71		$	1.32		$	1.56		$	2.02
Interest Rate (annual) ⁽³⁾		2.88	%		2.49	%		1.63	%		1.58	%
Volatility (annual)		64.05	%		62.95	%		53.66	%		53.00	%
Time to Maturity (Years)		2.9			2.7			1.9			1.7
Calculated fair value per share	$	0.82		$	0.50		$	0.49		$	0.80

(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 each presented period ended date.

(3) Interest rate for U.S. Treasury Bonds as each presented period ended date, as published by the U.S. Federal Reserve.

Summary of Warrants Outstanding and Fair Values

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 9/30/2018

4,260,785

0.82

3,500

Gain on Change in Fair Value of Warrant Liability

(1,385

)

Fair Value as of period ended 12/30/2018

4,260,785

0.50

2,115

Fair Value as of period ended 9/29/2019

4,125,200

0.49

2,036

Loss on Change in Fair Value of Warrant Liability

1,251

Fair Value as of period ended 12/29/2019

4,125,200

0.80

3,287