Quarterly report pursuant to Section 13 or 15(d)

Warrant Liabilities (Tables)

Warrant Liabilities (Tables)

9 Months Ended

Jun. 28, 2020

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 June 30, 2019			Period ended September 29, 2019			Period ended June 28, 2020
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		$	2.06		$	1.56		$	1.90
Interest Rate (annual) ⁽³⁾		2.88	%		1.78	%		1.63	%		0.17	%
Volatility (annual)		64.05	%		57.56	%		53.66	%		52.82	%
Time to Maturity (Years)		2.9			2.2			1.9			1.2
Calculated fair value per share	$	0.82		$	0.93		$	0.49		$	0.62

(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
Reclassification to additional paid in capital upon exercise of warrants ⁽¹⁾		(47,504	)				(48	)
Warrant buyback and cancellation ⁽²⁾		(88,081	)				(72	)
Loss on Change in Fair Value of Warrant Liability							465
Fair Value as of period ended 6/30/2019		4,125,200		$	0.93		3,845

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							504
Fair Value as of period ended 6/28/2020		4,125,200		$	0.62	$	2,540

(1) Exercise of warrants for gross proceeds of $72 thousand and a warrant liability fair market value of $48 thousand as of the exercise date.

(2) Buyback of 88,081 warrants at $0.85 per warrant for total consideration of ($75) thousand and a warrant liability fair market value of $72 thousand.