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Warrant Liability | 3 Months Ended
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Mar. 31, 2013
Warrant Liability [Abstract] |
Warrant Liability |
5. | Warrant Liability
Warrants with exercise price reset features (down-round protection) are accounted for as liabilities, with changes in fair value included in net loss. The fair value of the liability associated with the warrants with this reset feature decreased to $84,000 as of March 31, 2013 and $334,000 in gains from the change in fair value of warrants were recorded for the three months ended March 31, 2013, whereas we recorded $130,000 in losses for the three months ended March 31, 2012. All future changes in the fair value of the warrants are recognized currently in earnings until such time as the warrants are exercised or expire in August 2013. These warrants are not traded in an active securities market, and as such, we estimated the fair value of these warrants using an option pricing model with the following assumptions:
|  | As of March 31, 2013 |  |  | As of December 31, 2012 |
Expected term |  | 0.37 years |  |  | 0.61 years |
Common stock market price |  | $ | 2.51 |  |  | $ | 2.80 |
Risk-free interest rate |  |  | 0.09 | % |  |  | 0.11 | %
Expected volatility |  |  | 53.28 | % |  |  | 73.88 | %
Resulting fair value (per warrant) |  | $ | 0.04 |  |  | $ | 0.20 |
Expected volatility is based primarily on historical volatility. Historical volatility was computed using daily pricing observations for recent periods that correspond to the expected term of the warrants. We believe this method produces an estimate that is representative of our expectations of future volatility over the expected term of these warrants. We currently have no reason to believe future volatility over the expected remaining life of these warrants is likely to differ materially from historical volatility. The expected life is based on the remaining contractual term of the warrants. The risk-free interest rate is the interest rate for treasury constant maturity instruments published by the Federal Reserve Board that is closest to the expected term of the warrants. The fair value of these warrants also incorporates our assumptions about future equity issuances and their impact to the down-round protection feature. Fluctuations in the fair value of the warrants are impacted by unobservable inputs, most significantly the assumption with regards to future equity issuances and its impact to the down-round protection feature. Significant increases (decreases) in this input in isolation would result in a significantly higher (lower) fair value measurement.

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- Definition Disclosure for warrants which are accounted for as fair value liabilities with changes in fair value included in net earnings (loss). Fair value for these warrants is measured on a recurring basis using valuation techniques in which one or more significant inputs are unobservable in active markets (Level 3). + References No definition available. + Details
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- Details
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