XML 41 R16.htm IDEA: XBRL DOCUMENT

Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2012

Derivative Financial Liabilities Measured and Recorded at Fair Value on Consolidated Balance Sheets on Recurring Basis

The following table presents the derivative financial instruments, Opexa’s only financial liabilities measured and recorded at fair value on the Company’s consolidated balance sheets on a recurring basis, and their level within the fair value hierarchy as of September 30, 2012:

		September 30, 2012		Level 1		Level 2		Level 3
Warrant derivative liabilities	$	2,451,524	$	-	$	-	$	2,451,524
Total	$	2,451,524	$	-	$	-	$	2,451,524

Changes in Fair Value of Derivative Financial Instruments Measured at Fair Value on Recurring Basis using Significant Unobservable Inputs

The following table provides a summary of the changes in fair value, including net transfers in and/or out, of the derivative financial instruments, measured at fair value on a recurring basis using significant unobservable inputs:

Balance at December 31, 2011	$	-
Fair value of warrant derivative liabilities at issuance	$	2,314,635
Unrealized derivative losses included in other income (expense)	$	136,889
Balance at September 30, 2012	$	2,451,524

Variables used in Lattice Option Pricing Model for Derivative Liabilities

The variables used in the Lattice option pricing model for the derivative liabilities during the nine months ended September 30, 2012 include:

	July 25, 2012	September 30, 2012
Market value of common stock on measurement date	$0.64	$0.68
Projected exercise price	$1.25	$1.13
Risk free interest rate	0.56%	0.56%
Warrant lives in years	5	4.88
Expected volatility	193%	193%
Expected dividend yields	0%	0%
Offering price range	$0.64-$1.64	$0.68-$1.68

- Definition

Tabular disclosure of liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset.

+ References+ Details

- Definition

Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

+ References+ Details