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CAPITAL STOCK (Tables) | 9 Months Ended
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Sep. 30, 2016
Stockholders' Equity Note [Abstract] |
Schedule of share-based payment award, stock options, valuation assumptions | The following weighted average assumptions were used for the Black-Scholes option pricing model to calculate the $3.17 million of fair value for the 4,168,750 warrants issued in connection with the public offering in September 2016.
Risk-free rate | 1.2%
Expected life | 5.0 years
Expected volatility | 145.2%*
Expected dividend yield | —%
* | Expected volatility is measured based on the Company’s historical share price volatility over the expected life of the warrants.
The following weighted average assumptions were used for the Black-Scholes option pricing model to calculate the less than $0.01 million of fair value for the 1,224,000 warrants at September 30, 2016.
Risk-free rate | 0.29%
Expected life | 0.3 years
Expected volatility | 33.3%*
Expected dividend yield | —%
The following weighted average assumptions were used for the Black-Scholes option pricing model to calculate the $0.74 million of fair value for the 2,515,625 warrants at September 30, 2016.
Risk-free rate | 0.88%
Expected life | 2.5 years
Expected volatility | 97.6%*
Expected dividend yield | —%
The following weighted average assumptions were used for the Black-Scholes option pricing model to calculate the $2.09 million of fair value for the 2,515,625 warrants issued in connection with the public offering in March 2016.
Risk-free rate | 1.15%
Expected life | 3.0 years
Expected volatility | 106.0%*
Expected dividend yield | —%
* | Expected volatility is measured based on the Company’s historical share price volatility over the expected life of the warrants.
The following weighted average assumptions were used for the Black-Scholes option pricing model to calculate the $2.93 million of fair value for the 4,168,750 warrants at September 30, 2016.
Risk-free rate | 1.14%
Expected life | 5.0 years
Expected volatility | 147.11%*
Expected dividend yield | —%
* | Expected volatility is measured based on the Company’s historical share price volatility over the expected life of the warrants.
The fair value of the options granted under the Compensation Plan for the nine months ended September 30, 2016 was estimated at the date of grant, using the Black-Scholes Option Valuation Model, with the following weighted-average assumptions:
Risk-free interest rate | 1.03% - 1.43%
Expected life | 5.0 years
Expected volatility | 64.7% -74.8%*
Expected dividend yield | —%
Weighted-average expected life of option | 5.00
Weighted-average grant date fair value | $1.22 - $1.23
* | Expected volatility is measured based on the Company’s historical share price volatility over a period equivalent to the expected life of the options.
Schedule of Stockholders' Equity Note, Warrants or Rights | The following table summarizes the Company’s share purchase warrants denominated in USD. These warrants are accounted for as derivative liabilities as the functional currency of the entity issuing the warrants is Cdn$.
Month Issued | Expiry Date |  | Exercise Price USD$ |  | Warrants Outstanding |  | Fair value at September 30, 2016
June 2015 | January 25, 2017 |  | 6.28 |  |  | 1,224,000 |  |  | — |
March 2016 | March 14, 2019 |  | 3.20 |  |  | 2,515,625 |  |  | 737 |
September 2016 | September 20, 2021 |  | 2.45 |  |  | 4,168,750 |  |  | 2,926 |
|  |  |  |  |  |  | $ | 3,663 |
The following table summarizes the Company’s share purchase warrants denominated in Cdn$:
Month Issued | Expiry Date |  | Exercise Price Cdn$ |  | Warrants Outstanding
June 2012(1) | June 22, 2017 |  | 13.25 |  | 351,025 |
June 2013(1) | June 15, 2017 |  | 9.50 |  | 456,948 |
(1) | The expiration date for these warrants was extended by one year on March 24, 2016.

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- Definition Tabular disclosure of the significant assumptions used during the year to estimate the fair value of stock options, including, but not limited to: (a) expected term of share options and similar instruments, (b) expected volatility of the entity's shares, (c) expected dividends, (d) risk-free rate(s), and (e) discount for post-vesting restrictions. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 718 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (f)(2) -URI http://asc.fasb.org/extlink&oid=6415400&loc=d3e5070-113901 + Details
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- Definition Tabular disclosure of warrants or rights issued. Warrants and rights outstanding are derivative securities that give the holder the right to purchase securities (usually equity) from the issuer at a specific price within a certain time frame. Warrants are often included in a new debt issue to entice investors by a higher return potential. The main difference between warrants and call options is that warrants are issued and guaranteed by the company, whereas options are exchange instruments and are not issued by the company. Also, the lifetime of a warrant is often measured in years, while the lifetime of a typical option is measured in months. Disclose the title of issue of securities called for by warrants and rights outstanding, the aggregate amount of securities called for by warrants and rights outstanding, the date from which the warrants or rights are exercisable, and the price at which the warrant or right is exercisable. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08.(i)) -URI http://asc.fasb.org/extlink&oid=26873400&loc=d3e23780-122690 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 718 -SubTopic 10 -Section 50 -Paragraph 1 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=6415400&loc=d3e5047-113901 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 505 -SubTopic 50 -Section S99 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=6784392&loc=d3e188667-122775 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 505 -SubTopic 50 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=51659978&loc=d3e25284-112666 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher SEC -Name Regulation S-X (SX) -Number 210 -Section 02 -Paragraph 28 -Article 5 + Details
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