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WARRANT LIABILITY AND FAIR VALUE MEASUREMENTS (Tables)
 3 Months Ended
Mar. 31, 2017
Derivatives and Fair Value [Abstract]  
Valuation Methodology
A summary of quantitative information with respect to valuation methodology and significant unobservable inputs used for the Company’s common stock purchase warrants that are categorized within Level 3 of the fair value hierarchy for the three months ended March 31, 2017 and 2016 is as follows:
 
 
 
Three Months Ended
 
 
 
March 31,
 
 
 
2017
 
2016
 
Stock price
 
$
4.49
 
$
8.16
 
Exercise price
 
$
1.20
 
 
$1.20 - $300.00
 
Contractual term (years)
 
 
0.12 - 1.28
 
 
0.53 - 4.45
 
Volatility (annual)
 
 
67% - 79%
 
 
85% - 151%
 
Risk-free rate
 
 
0.74% - 1.03%
 
 
0.65% - 1.12%
 
Dividend yield (per share)
 
 
0%
 
 
0%
 
Financial Assets and Liabilities Measured at Fair Value on a Recurring Basis
Financial liabilities measured at fair value on a recurring basis are summarized below and disclosed on the balance sheet under Warrant liability:
 
 
 
Fair value measured at March 31, 2017
 
 
 
Quoted prices in active
 
Significant other
 
Significant
 
 
 
 
 
 
markets
 
observable inputs
 
unobservable inputs
 
Fair value at
 
 
 
(Level 1)
 
(Level 2)
 
(Level 3)
 
March 31, 2017
 
Warrant liability
 
$
-
 
$
-
 
$
17,500
 
$
17,500
 
 
 
 
Fair value measured at December 31, 2016
 
 
 
Quoted prices in active
 
Significant other
 
Significant
 
 
 
 
 
 
markets
 
observable inputs
 
unobservable inputs
 
Fair value at
 
 
 
(Level 1)
 
(Level 2)
 
(Level 3)
 
December 31, 2016
 
Warrant liability
 
$
-
 
$
-
 
$
14,500
 
$
14,500
 
Schedule of Changes in Level 3 Liabilities Measured at Fair Value
The following table presents changes in Level 3 liabilities measured at fair value for the three months ended March 31, 2017:
 
 
 
Warrant
 
 
 
Liability
 
Balance - December 31, 2016
 
$
14,500
 
Change in fair value of warrant liability
 
 
3,000
 
Balance – March 31, 2017
 
$
17,500