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Derivative Warrant Liabilities (Tables)
 9 Months Ended
Sep. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Outstanding Warrants Liabilities

The remaining outstanding warrants as of December 31, 2016 and September 30, 2017 are as follows:

 

Issuance Date  

Outstanding

as of

December 31, 2016

    

Outstanding

as of

September 30, 2017

     Exercise
Price		    

Exercisable

as of

September 30, 2017

     Exercisable Through
                             
Series A (2011)     64,230       -     $ 151.20       -     December 2016
Series A (2013)     57,814       57,814     $ 194.40       57,814     October 2018
Series A (2013)     2,718       2,718     $ 183.60       2,718     April 2023
Series A (2015)     10,139       10,139     $ 91.80       10,139     April 2020
Series A (2016) (a)(b)     10,047       9,279     $ 2.70       9,279     March 2018
Series B (2016) (a)     41,116       41,116     $ 2.70       41,116     March 2022

 

 

(a)

These warrants contain a full ratchet anti-dilution price protection so that, in most situations upon the issuance of any Common Stock or securities convertible into Common Stock at a price below the then-existing exercise price of the outstanding warrants, the warrant exercise price will be reset to the lower Common Stock sales price.

 

As such anti-dilution price protection, does not meet the specific conditions for equity classification, the Company is required to classify the fair value of these warrants as a liability, with changes in fair value to be recorded as income (loss) due to change in fair value of warrant liability. The estimated fair value of the Company’s warrant liability at September 30, 2017 and December 31, 2016, was approximately $39 and $313, respectively.

 

As quoted prices in active markets for identical or similar warrants are not available, the Company uses directly observable inputs in the valuation of its derivative warrant liabilities (level 2 measurement).

 

The Company uses the Black-Scholes valuation model to estimate fair value of these warrants. In using this model, the Company makes certain assumptions about risk-free interest rates, dividend yields, volatility, expected term of the warrants and other assumptions. Risk-free interest rates are derived from the yield on U.S. Treasury debt securities. Dividend yields are based on the Company’s historical dividend payments, which have been zero to date. Volatility is estimated from the historical volatility of the Common Stock as traded on NASDAQ. The expected term of the warrants is based on the time to expiration of the warrants from the date of measurement.

   
(b) In March 2017, an institutional holder executed a cashless exercise of 768 warrants and 359 shares of Common Stock were issued in connection therewith.
Schedule of Fair Value Assumption

The following table summarizes the observable inputs used in the valuation of the derivative warrant liabilities as of September 30, 2017 and December 31, 2016:

 

    As of
September 30, 2017		     As of
December 31, 2016		  
    Series A (2016)     Series B (2016)     Series A (2016)     Series B (2016)  
                         
Share price   $ 1.17     $ 1.17     $ 6.10     $ 6.10  
Exercise price   $ 2.70     $ 2.70     $ 2.70     $ 2.70  
Expected volatility     137 %     131 %     380 %     380 %
Risk-free interest     1.24 %     1.89 %     0.85 %     1.93 %
Dividend yield     —       —       —       —  
Expected life of up to (years)     0.50       4.50       1.2       5.2  
Schedule of Liabilities Measured on a Recurring Basis

Activity in such liabilities measured on a recurring basis is as follows:

 

    Derivative
warrant liabilities		  
As of December 31, 2016   $ 313  
Revaluation of warrants     (274 )
Exercise warrants     (*)  
As of September 30, 2017   $ 39