J.P. Morgan Strategic Volatility Index

OVERVIEW

The  J.  P. Morgan Strategic Volatility Index (the "Index" or "Strat Vol Index")
provides long exposure to VIX futures at the 2 - month point, and aims to offset
and  potentially profit from the "negative roll yield" 1 often associated with a
long VIX futures position by activating a short position in VIX futures at the 1
-month  point  during certain market conditions. The Index is rules -based, with
daily levels published to Bloomberg under the ticker JPUSSTVL.

Brief Background on Volatility Investing

[]    The  VIX  Index,  published  by  the  Chicago  Board  of  Options Exchange
      ("CBOE"),  is  viewed  as  the  benchmark index for measuring the market's
      expectation  of  the  near  -term (30 days) volatility of the SandP 500[R]
      Index.

[]    Volatility,  as  measured  by  the  VIX  Index, has historically increased
      during  periods  of decline in the equity markets. (See the chart below. )
      However, the VIX Index is not an investable index.

[]    Futures  contracts on the VIX Index were introduced by the CBOE in 2004 to
      provide investable access to volatility.

[]    The  1,8  VIX  futures curve is often in "contango" 2 which SandP can, all
      else  being  equal, result in negative returns for a strategy that is long
      VIX futures.

Historical  performance  comparison of the SandP 500[R] Index and the VIX Index:
July 2003 - Dec 2014
[GRAPHIC OMITTED]

Source:  J.  P.  Morgan. As of 12/31/2014. PAST PERFORMANCE IS NOT INDICATIVE OF
FUTURE RESULTS. The VIX Index is not an investable Index. The Strat Vol Index is
not  linked  to the VIX Index . The information in this chart is provided solely
for reference.

Illustration of a futures curve in contango
[GRAPHIC OMITTED]

Hypothetical  historical  performance comparison: Strategic Volatility Index and
SandP 500[R] Index - Sep 2006 to Dec 2014
[GRAPHIC OMITTED]

Source:  J.  P.  Morgan.  As  of  12/31/2014.  PAST PERFORMANCE AND BACK- TESTED
PERFOMANCE  ARE  NOT  INDICATIVE  OF  FUTURE  RESULTS.  The  Strat Vol Index was
launched  on  7/30/2010;  therefore  any data shown for that index prior to that
date  is  back  -  tested.  The information in this chart is provided solely for
reference.

Hypothetical historical returns and volatilities: Strategic Volatility Index and
SandP 500[R] Index - Sep 2006 to Dec 2014

                                                 Annualized      Annualized
                                                 Return          Volatility
Strategic Volatility Index                           9.73%           30.37%
SandP 500[R] Index                                   5.53%           21.93%
80/20 SandP 500[R]           Index / Strategic       8.82%           15.66%
Volatility Index

Source:  J.  P.  Morgan  .  As  of 12/31/2014 . PAST PERFORMANCE AND BACK-TESTED
PERFORMANCE  ARE NOT INDICATIVE OF FUTURE RESULTS. Annualized Return is based on
compounded   performance  of  returns  over  the  specified  period.  Annualized
Volatility  represents  the  standard  deviation  of daily returns scaled to one
year.  "  80/20  SandP 500[R] Index / Strat Vol Index" means a portfolio that is
allocated  80%  to  SandP  500[R]  Index  and  20%  to  Strat  Vol Index that is
rebalanced  quarterly.  The Strat Vol Index was launched on 7/30/2010, therefore
any  data  used  for  that  index  prior  to  that  date  is b ack - tested. The
information in this chart is provided solely for reference.

How the Index Works

[]    Maintains long exposure to the 2 -month point on the VIX futures curve.

[]    An  opportunistic  short position at the 1-mont h point on the VIX futures
      curve  is  activated during certain market scenarios (as described below),
      which  aims  to offset and potentially profit from the negative roll yield
      associated with 05 theDec VIX curve- 06 in those Feb market conditions.

[]    When  activated,  the short position is increased in 20% daily increments;
      when  de-activated  it  is  decreased  in  20% daily decrements. The short
      position ranges from 0% to 100% .

[]    Activation/De  -activation  signal: If the level of the VIX Index is below
      the 1-month point on the VIX futures curve (as would typically be the case
      when  the curve is in contango) for 3 consecutive days, the short position
      is  activated  (in 20% increments) and if it is above the 1-month point on
      the  VIX  futures  curve for 3 consecutive days, the short position is de-
      activated (in 20% decrements) .

[]    The  Index  level  incorporates  a  0.75%  per annum index fee, as well as
      additional  deductions  related  to  the  notional  rebalancing of the VIX
      futures contracts 3

1.  See the section labelled "Glossary" on the following page for the definition
of "negative roll yield" .

2.  See the section labelled "Glossary" on the following page for the definition
of "contango" .

3.  The level of the Index incorporates the daily deduction of (a) the index fee
of  0.75%  per  annum  and  (b)  a "daily rebalancing adjustment amount" that is
determined  by  applying  a  rebalancing  adjustment factor of between 0.20% and
0.50%  per day, both to the aggregate notional amount of each of the VIX futures
contracts  hypothetically  traded that day and the amount of the change, if any,
in  the level of the exposure to the synthetic short position. Please review the
relevant product supplement we have filed and any relevant term sheet or pricing
supplement  for  further  details on the J.P. Morgan Strategic Volatility Index,
including the daily rebalancing adjustment amount.

J.     P.    Morgan    Structured    Investments    |    800    576    3529    |
JPM_Structured_Investments@jpmorgan. com January 1, 2015

Hypothetical  historical  illustration of the exposure to the short component of
the Strategic Volatility Index: Sep 2006 to Dec 2014
[GRAPHIC OMITTED]

Source:  J.  P.  Morgan.  As  of  12/31/2014.  PAST PERFORMANCE AND BACK- TESTED
PERFORMANCE  ARE NOT INDICATIVE OF FUTURE LEVELS. The Strategic Volatility Index
was  launched on 7/30/2010; therefore any data used for that Index prior to that
date  is back -tested. The hypothetical, exposure to the short leg obtained from
such  back  - testing should not be considered indicative of the actual exposure
that  would  be  realized  during an investment in the Index. The information in
this chart is provided solely for reference.

Index fee and deductions for rebalancing adjustments

[]    The reported level of the Index incorporates the daily deduction of (a) an
      index  fee  of  0.75%  per  annum  and (b) a "daily rebalancing adjustment
      amount"  that is determined by applying a rebalancing adjustment factor of
      between  0.20% and 0.50% per day, both to the aggregate notional amount of
      each  of  the VIX futures contracts hypothetically traded that day and the
      amount  of  the  change,  if  any,  in  the  level  of the exposure to the
      synthetic short position.

[]    The  daily  rebalancing  adjustment  amount is intended to approximate the
      "slippage  costs"  that  would  be  experienced by a professional investor
      seeking  to replicate the hypothetical portfolio contemplated by the Index
      at  prices  that approximate the official settlement prices (which are not
      generally tradable) of the relevant VIX futures contracts.

Glossary of Select Terms

"contango"  is used to describe the shape of a futures curve when the price of a
futures  contract  with  a  later  expiration  is  higher than that of a futures
contract with an earlier expiration.

"backwardation" is the opposite of contango and is used to describe the shape of
a  futures curve when the price of a futures contract with a later expiration is
lower than the price of a futures contract with an earlier expiration.

"negative  roll  yield" / "positive roll yield" : Because futures contracts have
specific  expiration  dates,  in order for an investor to maintain exposure, the
investor  needs  to  sell a futures contracts as it gets close to expiration and
purchase another contract with a later expiration date. This process is known as
"rolling"  the  futures  position.  When  a  futures curve is in "contango" (see
above),  all  else  being  equal,  an investor in a long futures position pays a
higher  price to buy a later expiration futures contract than the price at which
the  investor sells the contract as it nears expiration, thus suffering negative
returns  ("negative  roll  yield")  .  Whereas  when  the  futures  curve  is in
"backwardation" (see above), all else being equal, an investor in a long futures
position  pays a lower price to buy a later expiration futures contract than the
price  at  which  the  investor  sells  the contract as it nears expiration thus
generating positive returns ("positive roll yield") .

What are the main risks in the Index?

[]    Any  securities we may issue linked to the Index may result in a loss, and
      are exposed to the credit risk of J. P. Morgan Chase and Co.

[]    The Index has limited operating history.

[]    The reported level of the Index incorporates the daily deduction of (a) an
      index  fee  of  0.75%  per  annum  and (b) a "daily rebalancing adjustment
      amount" (as described above).

[]    The  daily  rebalancing  adjustment amount is likely to have a substantial
      adverse effect on the level of the Index.

[]    The  Index  may  not  be successful and may not outperform any alternative
      strategy.

[]    Strategies  that  provide exposure to equity volatility, which are subject
      to significant fluctuations, are not suitable for all investors.

[]    When  the  synthetic short position is activated, your return on the notes
      is  dependent on the net performance, not the absolute performance, of the
      long and short positions.

[]    Due  to  the time lag inherent in the Index, the exposure to the synthetic
      short  position  may  not  be  adjusted  quickly  enough to offset loss or
      generate profit.

[]    The Index comprises only notional assets and liabilities.

[]    The  Index  is  an  excess return index and reflects the performance of an
      uncollateralized investment in futures contracts.

[]    Our  affiliate, J. P. Morgan Securities Ltd. ("JPMSL"), is the Sponsor and
      Calculation  Agent  for  the  Index and may adjust the Index in a way that
      affects its level.

[]    The Index is subject to risks associated with futures contracts.

These  risk  factors  are  not  exhaustive.  Please  review the relevant product
supplement  we  have filed and any relevant term sheet or pricing supplement for
further  information  on risk factors associated with the J. P. Morgan Strategic
Volatility Index.

Disclaimer

SEC Legend: JPMorgan Chase and Co. has filed a registration statement (including
a  prospectus)  with  the SEC for any offerings to which these materials relate.
Before you invest, you should read the prospectus in that registration statement
and  the  other  documents relating to this offering that JPMorgan Chase and Co.
has  filed  with  the SEC for more complete information about JPMorgan Chase and
Co.  and  this  offering.  You  may get these documents without cost by visiting
EDGAR  on the SEC Web site at www.sec.gov. Alternatively, JPMorgan Chase and Co.
,  any  agent  or any dealer participating in this offering will arrange to send
you  the  prospectus  and  each  prospectus  supplement  as  well as any product
supplement,  pricing supplement and term sheet if you so request by calling toll
-free 800-576-3529.

Free  Writing  Prospectus  Filed Pursuant to Rule 433 Registration Statement No.
333-199966

To the extent there are any inconsistencies between this free writing prospectus
and  the relevant pricing supplement, the relevant pricing supplement, including
any hyperlinked information, shall supersede this free writing prospectus.

Investment  suitability  must  be determined individually for each investor. The
financial  instruments  described  herein may not be suitable for all investors.
This  information  is  not  intended to provide and should not be relied upon as
providing  accounting, legal, regulatory or tax advice. Investors should consult
their own advisors on these matters.

IRS  Circular  230  Disclosure: JPMorgan Chase and Co. and its affiliates do not
provide  tax  advice.  Accordingly, any discussion of U.S. tax matters contained
herein  (including  any  attachments) is not intended or written to be used, and
cannot be used, in connection with the promotion, marketing or recommendation by
anyone  unaffiliated  with  JPMorgan Chase and Co. of any of the matters address
herein or for the purpose of avoiding U.S. tax - related penalties.

J.     P.    Morgan    Structured    Investments    |    800    576    3529    |
JPM_Structured_Investments@jpmorgan. com January 1, 2015