The fair value of each option is estimated on the date of grant using a Black-Scholes option valuation model that uses the assumptions noted in the following table. The expected term of options represents the period of time that options granted are expected to be outstanding. The risk-free interest rate for periods during the contractual life of the option is based on the U.S. Treasury yield curve in effect at the time of grant. The expected stock price volatility assumption is based on the historical volatilities of a peer group of publicly traded companies as well as the historical volatility of the Company's common stock since the Company began trading subsequent to the IPO in June 2018 over the period corresponding to the expected life as of the grant date. The expected dividend yield is based on the expected annual dividend as a percentage of the market value of the Company’s ordinary shares as of the grant date. The fair value of stock options granted was estimated with the following weighted average assumptions: 2021 2020 Expected term (years) 6.0 5.9 Risk-free interest rate 1.15 % 0.42 % Expected volatility 76.34 % 70.19 % Expected dividends — — Years Ended December 31, Stock option activity under the 2011 Plan, 2018 Plan, Inducement Plan and Assumed Plans for the year ended December 31, 2021 was as follows: Outstanding - January 1, 2021 4,953,906 $ 5.84 7.46 Granted 741,613 4.86 Assumed 6,400,246 6.17 Exercised (93,399) 2.14 Forfeited (411,080) 6.31 Expired (228,950) 11.42 Outstanding - December 31, 2021 11,362,336 $ 5.86 5.62 Exercisable - December 31, 2021 9,645,482 $ 5.94 5.18 Vested and expected to vest at December 31, 2021 11,362,336 $ 5.86 5.62 Number of Options Weighted Average Exercise Price Per Share Weighted Average Contractual Life (Years) The weighted average fair value of awards granted during the year ended December 31, 2021 was $3.22 per share. The total intrinsic value of options exercised during the year ended December 31, 2021 was $0.1 million. As of December 31, 2021, the aggregate intrinsic value of awards vested and expected to vest was $1.8 million. At December 31, 2021, there was a total of $6.0 million of unrecognized stock-based compensation expense related to stock options that is expected to be recognized over a weighted average period of 1.9 years. XERIS BIOPHARMA HOLDINGS, INC. Notes to Consolidated Financial Statements 117
RkJQdWJsaXNoZXIy NTIzOTM0