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Derivative Liability
 3 Months Ended
Jun. 30, 2015
Derivative Instruments And Hedging Activities Disclosure [Abstract]  
Derivative Liability

Note 2. Derivative Liability

During 2011 and 2012, the Company issued five-year warrants to purchase its common stock. For certain of these warrants, the exercise price is protected against down-round financing throughout the term of the warrant. Pursuant to ASC 815-15 and ASC 815-40, the fair value of the warrants was recorded as a derivative liability on the issuance dates.

The Company revalues the warrants classified as derivative liabilities as of the end of each reporting period. The estimated fair value of the outstanding warrant liabilities was less than $0.1 million and approximately $0.1 million as of June 30, 2015 and March 31, 2015, respectively. The changes in fair value of the derivative liabilities were an increase of approximately $38,000 and an increase of approximately $30,000 for the three months ended June 30, 2015 and 2014, respectively, and are included in other income (expense) in the statements of operations.

During the three months ended June 30, 2015 and 2014, 38,234 and 8,647 warrants, respectively, that were classified as derivative liabilities were exercised. The warrants were revalued as of the settlement dates, and the change in fair value was recognized to earnings.

The derivative liabilities were valued at the end of each reporting period using a Monte Carlo valuation model with the following assumptions:

 

 

 

June 30, 2015

 

 

March 31, 2015

 

 

June 30, 2014

 

Closing price per share of common stock

 

$

3.77

 

 

$

3.54

 

 

$

8.35

 

Exercise price per share

 

$

1.00

 

 

$

1.00

 

 

$

1.00

 

Expected volatility

 

 

73.90

%

 

 

76.80

%

 

 

78.20

%

Risk-free interest rate

 

 

0.64

%

 

 

0.56

%

 

 

1.62

%

Dividend yield

 

 

—

 

 

 

—

 

 

 

—

 

Remaining expected term of underlying securities

   (years)

 

 

1.71

 

 

 

1.96

 

 

 

2.71