Notes Payable (Tables)

9 Months Ended

Sep. 30, 2022

Debt Disclosure [Abstract]

Schedule of Monte Carlo Simulation Assumptions

The Monte Carlo Simulation was calculated using the following assumptions:

	September 12, 2022			September 30, 2022
Stock price	$	0.006		$	0.013
Term (years)		1.30			1.25
Annual volatility		143.91	%		154.04	%
Annual expected return		8.77	%		9.22	%
Discount rate		3.60	%		4.05	%
Dividend yield		0	%		0	%

Schedule of Derivative Liability Activity

The Company’s activity in its convertible debt related derivative liability was as follows for the three and nine months ended September 30, 2022:

Balance of derivative liability at January 1, 2022	$	-
Transfer in due to issuance of convertible promissory note with embedded conversion features		4,207
Change in fair value of derivative liability		6,318
Balance of derivative liability at September 30, 2022	$	10,525

Schedule of Warrant Derivative Liabilities

The Company’s activity in its warrant related derivative liability was as follows for the three and nine months ended September 30, 2022:

Balance of derivative liability at January 1, 2021	$	246
Transfer in due to issuance of warrants with embedded conversion features		2,492
Transfer out upon conversion of convertible notes and warrants with embedded conversion provisions		(732	)
Change in fair value of warrant liability		(955	)
Change in fair value of derivative liability		79
Balance of derivative liability at December 31, 2021		1,130
Transfer out upon exercise of warrants		(171	)
Change in fair value of warrant liability		407
Balance of derivative liabilities at March 31, 2022		1,366
Transfer out upon exercise of warrants		(38	)
Change in fair value of warrant liability		(999	)
Balance of derivative liabilities at June 30, 2022		329
Transfer in due to issuance of warrants		2,554
Transfer out upon exercise of warrants		(22	)
Change in fair value of warrant liability		4,109
Balance of derivative liabilities at September 30, 2022	$	6,970

Schedule of Binominal Lattice Model Assumption

The following assumptions were used in the binomial lattice model as follows:

	September 12, 2022			September 30, 2022
Stock price	$	0.006		$	0.013
Exercise price(s)		Variable (see above exercise prices)			Variable (see above exercise prices)
Term (years)		3.00			2.95
Annual volatility		167.43	%		171.21	%
Discount rate		3.60	%		4.25	%
Dividend yield		0	%		0	%

Schedule of Derivative Liability Fair Value

The following table summarizes the Company’s debt related derivative liabilities as of September 30, 2022 and December 31, 2021:

	September 30, 2022
	Level 1		Level 2		Level 3		Fair Value
Derivative liability	$	-	$	-	$	10,525	$	10,525
Warrant derivative liability		-		-		6,970		6,970

	December 31, 2021
	Level 1		Level 2		Level 3		Fair Value
Warrant derivative liability	$	-	$	-	$	1,130	$	1,130