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Derivative Liabilities | 12 Months Ended
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Jun. 30, 2016
Derivative Liabilities [Abstract] |
DERIVATIVE LIABILITIES | NOTE 7 - DERIVATIVE LIABILITIES ASC Topic No. 815 - Derivatives and Hedging provides guidance on determining what types of instruments or embedded features in an instrument issued by a reporting entity can be considered indexed to its own stock for the purpose of evaluating the first criteria of the scope exception in the pronouncement on accounting for derivatives. These requirements can affect the accounting for warrants and convertible preferred instruments issued by the Company. At June 30, 2016 and 2015, the Company had warrants resulting from equity offerings in May 2014 and June 2014 that do not have fixed settlement provisions because their conversion and exercise prices may be lowered if the Company issues securities at lower prices in the future, the Company concluded that the instruments are not indexed to the Company’s stock and are to be treated as derivative liabilities. In determining the fair value of the derivative liabilities, the Company used the Black-Scholes option pricing model at June 30, 2016 and 2015. The following is a summary of the assumptions used in the valuation model at June 30, 2016 and 2015:
|  | June 30, |  |  | June 30, |
|  | 2016 |  |  | 2015 |
Common stock issuable upon exercise of warrants |  |  | 2,574,570 |  |  |  | 2,574,570 |
Market value of common stock on measurement date (1) |  | $ | 2.28 |  |  | $ | 10.15 |
Exercise price |  | $ | 7.50 and $11.25 |  |  | $ | 7.50 and $11.25 |
Risk free interest rate (2) |  |  | 0.71 | % |  |  | 1.6 | %
Expected life in years |  |  | 2.95 |  |  |  | 3.90 |
Expected volatility (3) |  |  | 75 | % |  |  | 70 | %
Expected dividend yields (4) |  |  | None |  |  |  | None |
(1) | Quoted market value of the common stock, reflects a one-for-five reverse stock split.
(2) | The risk-free interest rate was determined by management using the applicable Treasury Bill interest rate as of the measurement date, when applicable.
(3) | The historical trading volatility was determined by calculating the volatility of the Company’s peer group.
(4) | The Company does not expect to pay a dividend in the foreseeable future.
During the year ended June 30, 2015, 2,033,915 A warrants were exercised and 1,398,845 A warrants expired. The following were the summary of the assumptions at the transactions dates for the warrant exercises during the year ended June 30, 2015.
|  | Year Ended June 30, 2015 |
Common stock issuable upon exercise of warrants |  |  | 2,033,915 |
Market value of common stock on measurement date |  | $ | 15.00 |
Exercise price |  | $ | 7.50 |
Risk free interest rate |  |  | 0.02 | %
Expected life in years |  |  | 0.0 |
Expected volatility |  |  | 71.2 | %
Expected dividend yields |  |  | None |
The following table sets forth, by level within the fair value hierarchy, the Company’s derivative liabilities that were accounted for at fair value on a recurring basis as of June 30, 2016:
|  | Balance at June 30, |  |  | Initial valuation of derivative liabilities upon issuance of new warrants during the |  |  | Decrease in fair value of derivative |  |  | Fair value of derivatives reclassified to additional |  |  | Balance at June 30, |
|  | 2015 |  |  | period |  |  | liabilities |  |  | paid-in-capital |  |  | 2016 |
Series B warrants issued in connection with May and June 2014 offering |  | $ | 8,770,700 |  |  | $ | - |  |  | $ | (8,266,218 | ) |  | $ | - |  |  | $ | 504,482 |
Placement Agent warrants issued in connection with May and June 2014 offering |  |  | 5,230,669 |  |  |  | - |  |  |  | (4,842,648 | ) |  |  | - |  |  |  | 388,021 |
Total |  | $ | 14,001,369 |  |  | $ | - |  |  | $ | (13,108,866 | ) |  | $ | - |  |  | $ | 892,503 |
The following table sets forth, by level within the fair value hierarchy, the Company’s derivative liabilities that were accounted for at fair value on a recurring basis as of June 30, 2015:
|  | Balance at June 30, |  |  | Initial valuation of derivative liabilities upon issuance of new warrants during the |  |  | Increase (decrease) in fair value of derivative |  |  | Fair value of derivatives reclassified to additional |  |  | Balance at June 30, |
|  | 2014 |  |  | period |  |  | liabilities |  |  | paid-in-capital |  |  | 2015 |
Series A warrants issued in May and June 2014 offering |  | $ | 10,040,822 |  |  | $ | - |  |  | $ | 5,255,019 |  |  | $ | (15,295,841 | ) |  | $ | - |
Series B warrants issued in connection with May and June 2014 offering |  |  | 9,894,930 |  |  |  | - |  |  |  | (1,124,230 | ) |  |  | - |  |  |  | 8,770,700 |
Placement Agent warrants issued in connection with May and June 2014 offering |  |  | 5,651,181 |  |  |  | - |  |  |  | (420,512 | ) |  |  | - |  |  |  | 5,230,669 |
Total |  | $ | 25,586,933 |  |  | $ | - |  |  | $ | 3,710,277 |  |  | $ | (15,295,841 | ) |  | $ | 14,001,369 |

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