Derivative Instruments

12 Months Ended

Dec. 31, 2018

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments

Note 5 – Derivative Instruments

Derivatives – Warrants Issued Relative to Notes Payable

The estimated fair value of the Company’s derivative liabilities, all of which are related to the detachable warrants issued in connection with various notes payable and the secured convertible note, were estimated using a closed-ended option pricing model utilizing assumptions related to the contractual term of the instruments, estimated volatility of the price of the Company’s common stock, interest rates, the probability of both the downward adjustment of the exercise price and the upward adjustment to the number of warrants as provided by the note payable and warrant agreement terms (Note 2 and 3) and non-performance risk factors, among other items (ASC 820, Fair Value Measurements (“ASC 820”) fair value hierarchy Level 3). The detachable warrants issued in connection with the secured convertible note (See Note 2), the December 2013 Note (See Note 3) and the two other short-term notes payable (See Note 3) contain ratchet and anti-dilution provisions that remain in effect during the term of the warrant while the ratchet and anti-dilution provisions of the other notes payable cease when the related note payable is extinguished. When the note payable containing such ratchet and anti-dilution provisions is extinguished, the derivative liability will be adjusted to fair value and the resulting derivative liability will be transitioned from a liability to equity as of such date. The derivative liability associated with the warrants issued in connection with the secured convertible note payable will remain in effect until such time as the underlying warrant is exercised or terminated and the resulting derivative liability will be transitioned from a liability to equity as of such date.

The Company has issued warrants to purchase an aggregate of 2,074,000 shares of common stock in connection with various outstanding debt instruments which require derivative accounting treatment as of December 31, 2018. A comparison of the assumptions used in calculating estimated fair value of such derivative liabilities as of December 31, 2018 is as follows:

	As of December 31, 2018
Volatility – range		237.3% - 272.8	%
Risk-free rate		2.51% - 2.59	%
Contractual term		1.5 - 3.3 years
Exercise price		$5.00 - $5.60
Number of warrants in aggregate		2,074,000

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 for both open and closed derivatives:

	Amount
Balance at December 31, 2017	$	104,183
Warrants issued to originate or extend notes payable (recorded as discount on note payable) -Note 3		—
Unrealized derivative gains included in other expense for the period		(38,681	)
Transition of derivative liability to equity		—
Balance at December 31, 2018	$	65,502

The warrant derivative liability consists of the following at December 31, 2018 and 2017:

	December 31, 2018		December 31, 2017
Warrant issued to holder of Secured convertible note (Note 2)	$	57,092	$	90,519
Warrant issued to placement agent (Note 2)		7,573		12,069
Warrant issued to holder of December 2013 Note (Note 3)		—		31
Warrants issued to holders of notes payable - short term (Note 3)		837		1,564
Total warrant derivative liability	$	65,502	$	104,183