Derivative Instruments

6 Months Ended

Jun. 30, 2019

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 34,000 and 2,074,000 shares of common stock, respectively in connection with various outstanding debt instruments which require derivative accounting treatment as of June 30, 2019 and December 31, 2018. A comparison of the assumptions used in calculating estimated fair value of such derivative liabilities as of June 30, 2019 is as follows:

	As of June 30, 2019
Volatility – range		284.1	%
Risk-free rate		1.76	%
Contractual term		1.00 – 1.8 years
Exercise price	$	5.60
Number of warrants in aggregate		34,000

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, 2018	$	65,502
Side-letter derivative issued in exchange transactions -Note 2		107,860
Unrealized derivative losses included in other expense for the period		62,808
Extinguishment of derivative liability in exchange transactions		(154,099	)
Balance at June 30, 2019	$	82,071

The warrant derivative liability consists of the following at June 30, 2019 and December 31, 2018:

	June 30, 2019		December 31, 2018
Warrant issued to holder of Secured convertible note (Note 2)	$	—	$	57,092
Warrant issued to placement agent (Note 2)		—		7,573
Side-letter derivative issued to holder of Secured convertible note pursuant to exchange transaction (Note 2)		80,594		—
Warrants issued to holders of notes payable - short term (Note 3)		1,477		837
Total warrant derivative liability	$	82,071	$	65,502