Quarterly report pursuant to Section 13 or 15(d)

Warrant Liabilities (Tables)

v3.22.0.1
Warrant Liabilities (Tables)
3 Months Ended
Jan. 02, 2022
Warrant Liabilities  
Schedule of Warrant Liabilities Assumptions Used

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 27,

2020

   

Period

ended

December 27,

2020

 
Exercise Price (1)   $ 1.50     $ 1.50  
Warrant Expiration Date (1)     8/26/2021       8/26/2021  
Stock Price (2)   $ 1.96     $ 1.73  
Interest Rate (annual) (3)     0.12 %     0.11 %
Volatility (annual)     51.67 %     44.77 %
Time to Maturity (Years)     0.9       0.7  
Calculated fair value per share   $ 0.62     $ 0.37  

  

(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 end 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 9/27/2020     4,125,200     $ 0.62     $ 2,544  
Gain on Change in Fair Value of Warrant Liability                     (1,027 )
Fair Value as of period ended 12/27/2020     4,125,200     $ 0.37       1,517  
                         
Fair Value as of period ended 10/3/2021     -     $ -     $ -  
Gain on Change in Fair Value of Warrant Liability                     -  
Fair Value as of period ended 1/2/2022     -     $ -     $ -