| Series C exchange fair value assumptions for warrrants received |
In connection with the Series C exchange, we calculated the
fair value of the 686,124 warrants received, as described above, using a binomial model with the below assumptions.
| Assumptions |
|
Series C Exchange Warrants |
| Contractual life (in months) |
|
64 |
| Expected volatility |
|
106.7% |
| Risk-free interest rate |
|
0.75% |
| Exercise price |
|
$0.74 |
| Fair value per warrant |
|
$0.46 |
|
| Fair value of the warrants |
In connection with the warrant modification, we calculated
the fair value of the warrants, as described above, using a Black-Scholes model with the below assumptions:
| Assumptions |
Series A |
Series A |
Series B |
Series C |
Aug/Sep 2011 |
Feb 2012 |
| |
|
(Affiliates) |
|
|
Notes |
PIPE |
| Contractual life, in years |
4.1 |
3.1 |
3.1 |
5.1 |
2.1 |
4.6 |
| Expected volatility |
132.0% |
114.1% |
114.1% |
121.9% |
126.6% |
126.6% |
| Risk-free interest rate |
0.4% |
0.4% |
0.4% |
0.4% |
0.4% |
0.4% |
| Exercise price |
$0.60 |
$0.60 |
$0.60 |
$0.60 |
$0.60 |
$0.60 |
| Fair value per warrant |
$0.03 |
$0.03 |
$0.03 |
$0.03 |
$0.03 |
$0.03 |
|
| Warrants and Options Outstanding |
The following tables summarize information concerning options
and warrants outstanding and exercisable:
| |
|
Stock Options |
|
|
Warrants |
|
|
|
|
|
|
|
| |
|
|
|
|
Weighted |
|
|
|
|
|
Weighted |
|
|
|
|
|
|
|
| |
|
|
|
|
Average price |
|
|
|
|
|
Average price |
|
|
Total |
|
|
|
|
| |
|
Shares |
|
|
per share |
|
|
Shares |
|
|
per share |
|
|
Shares |
|
|
Exercisable |
|
| Balance outstanding, January 1, 2012 |
|
|
1,508,500 |
|
|
$ |
2.33 |
|
|
|
4,775,501 |
|
|
$ |
1.35 |
|
|
|
6,284,001 |
|
|
|
6,112,335 |
|
| Granted |
|
|
1,896,250 |
|
|
|
.81 |
|
|
|
2,909,068 |
|
|
|
.62 |
|
|
|
4,805,318 |
|
|
|
|
|
| Exercised |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
|
|
| Expired |
|
|
(130,000) |
|
|
|
2.28 |
|
|
|
(116,490) |
|
|
|
2.80 |
|
|
|
(246,490) |
|
|
|
|
|
| Forfeited |
|
|
(1,669,000) |
|
|
|
- |
|
|
|
(880,980) |
|
|
|
2.13 |
|
|
|
(2,549,980) |
|
|
|
|
|
| Balance outstanding, December 31, 2012 |
|
|
1,605,750 |
|
|
$ |
0.80 |
|
|
|
6,687,099 |
|
|
$ |
0.81 |
|
|
|
8,292,849 |
|
|
|
7,989,331 |
|
| Granted |
|
|
- |
|
|
|
- |
|
|
|
4,650,000 |
|
|
|
0.40 |
|
|
|
4,650,000 |
|
|
|
|
|
| Exercised |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
|
|
| Expired |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
|
|
| Forfeited |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
|
|
| Balance outstanding, March 31, 2013 |
|
|
1,605,750 |
|
|
$ |
0.80 |
|
|
|
11,337,099 |
|
|
$ |
0.70 |
|
|
|
12,942,849 |
|
|
|
12,711,330 |
|
| |
|
|
Options Outstanding |
|
|
Options Exercisable |
|
| |
|
|
|
|
|
Weighted Average |
|
|
|
|
|
Weighted Average |
|
| Range of Exercise Prices |
|
|
Number of Options |
|
|
Remaining Contractual
Life (Years)
|
|
|
Exercise Price |
|
|
Number of Options |
|
|
Remaining Contractual
Life (Years)
|
|
|
Exercise Price |
|
| |
$0.50 - $0.59 |
|
|
|
213,750 |
|
|
|
9.3 |
|
|
$ |
0.50 |
|
|
|
168,751 |
|
|
|
9.3 |
|
|
$ |
0.50 |
|
| |
0.60 - 0.99 |
|
|
|
536,000 |
|
|
|
6.8 |
|
|
|
0.60 |
|
|
|
440,313 |
|
|
|
6.3 |
|
|
|
0.60 |
|
| |
1.00 - 1.50 |
|
|
|
856,000 |
|
|
|
4.0 |
|
|
|
1.00 |
|
|
|
765,167 |
|
|
|
3.5 |
|
|
|
1.00 |
|
| |
$0.50 - $1.50 |
|
|
|
1,605,750 |
|
|
|
5.65 |
|
|
$ |
0.80 |
|
|
|
1,374,231 |
|
|
|
5.1 |
|
|
$ |
0.81 |
|
|