Warrant Liabilities (Tables)

9 Months Ended

Sep. 30, 2015

Summary of Outstanding Series B Warrants and Fair Market Values

As of December 31, 2014 and September 30, 2015 the outstanding Series B Warrants and fair market values were:

Number of Warrants at December 31, 2014	Fair Value at December 31, 2014 (in thousands)	Number of Warrants at September 30, 2015	Fair Value at September 30, 2015 (in thousands)
2,449,605	$17,439	527,573	$3,851

Series B Warrant Liability [Member]

Fair Value of Convertible Preferred Stock Warrant Liability

As of December 31, 2014 and September 30, 2015 the Company used a Monte Carlo simulation to calculate the fair value of its Series B Warrant liability. This model is dependent upon several variables such as the warrant’s term, exercise price, current stock price, risk-free interest rate estimated over the contractual term, estimated volatility of our stock over the term of the warrant and the estimated market price of our stock during the cashless exercise period. The risk-free rate is based on U.S. Treasury securities with similar maturities as the expected terms of the warrants. The volatility is estimated based on blending the volatility rates for a number of similar publicly-traded companies. The Company used the following inputs:

	September 30, 2015			December 31, 2014
Volatility		90	%		87	%
Expected Term (years)		0.27			1.1
Expected dividend yield		0.0	%		0.0	%
Risk-free rate		0.26	%		0.26	%

Series C Warrant Liability [Member]

Fair Value of Convertible Preferred Stock Warrant Liability

The Company has calculated the fair value of the Series C warrants using a Black-Scholes pricing model, which requires the input of highly subjective assumptions including the expected stock price volatility. The Company used the following inputs:

	September 30, 2015			March 5, 2015
Volatility		90	%		86	%
Expected Term (years)		4.42			5.00
Expected dividend yield		0.0	%		0.0	%
Risk-free rate		1.35	%		1.35	%