Quarterly report pursuant to Section 13 or 15(d)

Derivatives (Tables)

v3.3.0.814
Derivatives (Tables)
 9 Months Ended
Sep. 30, 2015
Derivatives [Abstract]  
Schedule of derivative warrant instruments activity

    Shares subject to warrants     Fair Value  
             
Balance, December 31, 2014     1,649,329     $ 6,709,911  
                 
Transfer from liability to equity classification     (21,960 )     (48,691 )
                 
Change in fair value     -       (5,432,918 )
                 
Balance, September 30, 2015     1,627,369     $ 1,228,302  

 
Summary of fair values of derivative warrants on basis of valuation model

    September 30,     December 31,  
    2015     2014  
             
Market value of common stock on measurement date (1)   $ 1.77     $ 5.89  
Adjusted exercise price   $ 2.48     $ 2.48  
Risk free interest rate (2)     0.78 %     1.10 %
Warrant lives in years     2.50 years       3.00 years  
Expected volatility (3)     90 %     71 %
Expected dividend yield (4)     -       -  
Probability of stock offering in any period over 5 years (5)     100 %     100 %
Offering price (6)   $ 2.60     $ 4.50  

 

(1) The market value of common stock at the above measurement dates is based on the Company’s closing price quoted on the NYSE MKT.

  

(2) The risk-free interest rate was determined by management using the Treasury Bill rate as of the respective measurement date.

 

(3) As of September 30, 2015, the volatility was estimated using the historical volatilities of the Company’s common stock traded in NYSE MKT market. As of December 31, 2014, the volatility was estimated using the historical volatilities of comparable companies in the same industry and region.

 

(4) Management determined the dividend yield to be 0% based upon its expectation that it will not pay dividends for the foreseeable future.

 

(5) Management determines the probability of future stock offering at each evaluation date.
   
(6) Represents the estimated offering price in future offerings as determined by management.