Derivative Liability (Tables)

9 Months Ended

Sep. 30, 2016

Estimated Fair Value of Warrants Assumptions Used for the Black-Scholes Option-pricing Model

The fair value of the warrant at the date of issuance is $4.0 million based on the Black-Scholes option pricing model. Key assumptions used to apply this model upon issuance were as follows:

	January 29, 2016			Weighted Average Upon Exercise and Cancellation
Dividend yield		—			—
Expected volatility		80.0	%		80.0	%
Risk-free rate of return		0.47	%		0.61	%
Expected term (years)		1.0			0.80
Fair Value per share	$	0.25		$	0.30

The fair value of the warrant at the date of issuance and at September 30, 2016 was estimated to be $0.3 million, based on the Black-Scholes option pricing model. Key assumptions used to apply this model were as follows:

	May 3, 2016			September 30, 2016
Dividend yield		—			—
Expected volatility		84.9	%		83.6	%
Risk-free rate of return		1.22	%		1.21	%
Expected term (years)		5.0			4.6
Fair Value per share	$	3.20		$	4.03

Common Stock [Member]

Activities of Warrants

The activities of the common stock warrants are as follows:

	Number of shares		Weighted average exercise price		Weighted average remaining life
Outstanding and exercisable—December 31, 2015		—		—		—
Warrants issued in conjunction with public share offering		83,120	$	5.00		5.0 years
Warrants exercised		—		—
Outstanding and exercisable—September 30, 2016		83,120	$	5.00		4.6 years

Series AB Preferred Stock [Member]

Activities of Warrants

The activities of the private company Series AB warrants are as follows:

	Number of shares			Weighted average exercise price		Weighted average remaining life
Outstanding and exercisable—December 31, 2015		—			—		—
Warrants issued in conjunction with private company Series AB financing		16,000,000		$	1.25
Warrants cancelled		(10,100,000	)	$	1.25		—
Warrants exercised		(5,900,000	)	$	1.25		—
Outstanding and exercisable—September 30, 2016		—			—		—