| Fair Value, Instruments Classified in Shareholders' Equity Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block] |
The following table summarizes the changes in fair value of the Company's Level 3 financial instruments for the three and nine months ended July 31, 2012 and July 31, 2011.
Embedded derivative liability
| |
|
July 31,
2012 |
|
|
July 31,
2011 |
|
| Beginning balance at October 31, 2011 and 2010 |
|
$ |
946,046 |
|
|
$ |
81,028 |
|
| Issuance of embedded derivatives associated with convertible notes |
|
|
306,568 |
|
|
|
200,569 |
|
| Note Conversions and Payoffs |
|
|
(670,755 |
) |
|
|
- |
|
| Change in fair value |
|
|
159,657 |
|
|
|
(51,972 |
) |
| Balance at January 31, 2012 and 2011 |
|
|
741,496 |
|
|
|
229,625 |
|
| Issuance of embedded derivatives associated with convertible notes |
|
|
- |
|
|
|
697,736 |
|
| Note Conversions |
|
|
(165,693 |
) |
|
|
- |
|
| Note Payoffs |
|
|
- |
|
|
|
(5,904 |
) |
| Change in fair value |
|
|
(438,054 |
) |
|
|
918,870 |
|
| Balance at April 30, 2012 and 2011 |
|
$ |
137,749 |
|
|
$ |
1,840,327 |
|
| Issuance of embedded derivatives associated with convertible notes |
|
|
|
|
|
|
2,719,345 |
|
| Debt for Equity Exchanges: May, October and December 2011 Notes |
|
|
(115,046 |
) |
|
|
|
|
| Note Conversions and Payoffs |
|
|
- |
|
|
|
(739,787 |
) |
| Reclassification of JMJ Note |
|
|
|
|
|
|
(516,571 |
) |
| Change in fair value |
|
|
(20,567 |
) |
|
|
(2,216,715 |
) |
| Balance at July 31, 2012 and 2011 |
|
|
2,136 |
|
|
|
1,086,599 |
|
Common stock warrant liability:
| |
|
July 31,
2012 |
|
|
July 31,
2011 |
|
| Beginning balance at October 31, 2011 and 2010 |
|
$ |
6,391,071 |
|
|
$ |
13,006,194 |
|
| Issuance of common stock warrants |
|
|
- |
|
|
|
600,407 |
|
| Exercises and Exchanges of warrants |
|
|
59,572 |
|
|
|
(1,295,884 |
) |
| Change in fair value |
|
|
(923,052 |
) |
|
|
(3,789,889 |
) |
| Balance at January 31, 2012 and 2011 |
|
$ |
5,527,591 |
|
|
$ |
8,520,828 |
|
| |
|
|
|
|
|
|
|
|
| Issuance of common stock warrants |
|
|
- |
|
|
|
3,111,758 |
|
| Exercises of warrants |
|
|
- |
|
|
|
(639,960 |
) |
| Exchanges of warrants |
|
|
(134,796 |
) |
|
|
- |
|
| Change in fair value |
|
|
(2,302,707 |
) |
|
|
4,915,676 |
|
| Balance at April 30, 2012 and 2011 |
|
$ |
3,090,088 |
|
|
$ |
15,908,302 |
|
| Issuance of common stock warrants |
|
|
291,400 |
|
|
|
36,376 |
|
| Reclassification of liabilities to equity |
|
|
- |
|
|
|
613,003 |
|
| Debt for Equity Exchange: Bridge Notes |
|
|
(4,750 |
) |
|
|
- |
|
| July Warrant Exchanges |
|
|
(407,501 |
) |
|
|
- |
|
| Exercises and/or Exchanges of warrants |
|
|
- |
|
|
|
(1,714,266 |
) |
| Change in fair value |
|
|
(1,703,252 |
) |
|
|
(6,906,747 |
) |
| Balance at July 31, 2012 and 2011 |
|
|
1,265,985 |
|
|
|
7,936,668 |
|
| May 2012 Notes |
|
July 31, 2012 |
|
| |
|
|
|
| Issuance of notes |
|
|
687,000 |
|
| |
|
|
|
|
| Issuance of C/S warrants |
|
|
(291,400 |
) |
| |
|
|
|
|
| Changes in fair value |
|
|
77,270 |
|
| |
|
|
|
|
| |
|
$ |
472,870 |
|
|
| Fair Value Assumptions [Table Text Block] |
In fair valuing the warrant liability, at July 31, 2012 and July 31, 2011, the Company used the following inputs:
in its BSM Model:
| |
|
|
7/31/2012 |
|
|
|
7/31/2011 |
|
| |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| Exercise Price: |
|
|
0.15 |
|
|
|
0.15 |
|
| |
|
|
|
|
|
|
|
|
| Stock Price |
|
|
0.073 |
|
|
|
0.1485 |
|
| |
|
|
|
|
|
|
|
|
| Expected term: |
|
|
15-1752 days |
|
|
|
185-1825 days |
|
| |
|
|
|
|
|
|
|
|
| Volatility % |
|
|
65.59%-91.95% |
|
|
|
65.68%-174.18% |
|
| |
|
|
|
|
|
|
|
|
| Risk Free Rate: |
|
|
.07%-.27% |
|
|
|
.10-.18% |
|
For those warrants with exercise price reset features (anti-dilution provisions), the Company computes multiple valuations, each quarter, using an adjusted BSM model, to account for the various possibilities that could occur due to changes in the inputs to the BSM model as a result of contractually-obligated changes (for example, changes in strike price to account for down-round provisions). As of July 31, 2012, the Company utilized different exercise prices of $0.15 and $0.10, weighting the possibility of warrants being exercised at $0.15 between 50% and 70% and warrants being exercised at $0.10 between 50% and 30%.
In fair valuing the embedded conversion feature related to the May 2012 Notes, at July 31, 2012, the Company used the following inputs in its BSM Model:
| Exercise Price: |
|
|
0.15 |
|
| |
|
|
|
|
| Stock Price |
|
|
0.073 |
|
| |
|
|
|
|
| Expected term: |
|
|
291 days |
|
| |
|
|
|
|
| Volatility % |
|
|
71.25 |
% |
| |
|
|
|
|
| Risk Free Rate: |
|
|
0.15 |
% |
|