Quarterly report pursuant to Section 13 or 15(d)

Derivative Liabilities

v3.6.0.2
Derivative Liabilities
6 Months Ended
Dec. 31, 2016
Derivative Liabilities [Abstract]  
DERIVATIVE LIABILITIES

NOTE 7 - DERIVATIVE LIABILITIES

 

The estimated fair value of the derivative liabilities included B warrants and agent warrants that have a down-round protection provision was calculated with the Black-Scholes Option pricing model. The following is a summary of the assumptions used in the valuation model of the derivative liabilities at December 31, 2016 and June 30, 2016:

 

    December 31,     June 30,  
    2016     2016  
Common stock issuable upon exercise of warrants     2,574,570       2,574,570  
Market value of common stock on measurement date (1)   $ 1.09     $ 2.28  
Exercise price   $ 7.50 and 11.25     $ 7.50 and 11.25  
Risk free interest rate (2)     1.47 %     0.71 %
Expected life in years     2.44       2.95  
Expected volatility (3)     108 %     75 %
Expected dividend yields (4)     None         None    

 

(1) Quoted market value of the common stock, reflects a one-for-five reverse stock split.
(2) The risk-free interest rate was determined by management using the applicable Treasury Bill as of the measurement date.
(3) The historical trading volatility was determined by calculating the volatility of the Company’s stock at December 31, 2016 and the Company’s peer group at June 30, 2016.
(4) The Company does not expect to pay a dividend in the foreseeable future.