J.P. Morgan High Yield ETF Volatility Target Index 3%

Performance Update - August 2015

OVERVIEW
The J.P. Morgan High Yield ETF Volatility Index 3% (ticker: JPUSHY3E) is a
notional dynamic strategy that tracks the return of an exchange-traded fund
(the High Yield Constituent) in excess of a synthetic borrowing cost component
accruing interest at the 3-month USD LIBOR, while targeting a specific
volatility on a daily basis, less a fee of 1.00% per annum, that accrues daily.
The High Yield Constituent is currently the PIMCO 0-5 Year High Yield Corporate
Bond Index Exchange-Traded Fund, which seeks to provide total return that
corresponds, before fees and expenses, to the total return of BofA Merrill
Lynch 0-5 Year US High Yield Constrained Index. The High Yield Volatility Index
targets an annualized volatility of 3% on a daily basis by dynamically
adjusting its exposure to the High Yield Constituent based on the historical
volatility of the High Yield Constituent.

Hypothetical and Actual Historical Performance -August 16, 2011 to July 31,
2015

Hypothetical and Actual Historical Volatility --through July 31, 2015

Key Features of the Index

    The PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund is
designed to track the short dated high yield corporate bond sector.
    The High Yield constituent tracks The BofA Merrill Lynch 0-5 Year US High
Yield Constrained Index SM, and aims to achieve the yield, volatility level,
and low or negative correlations with other asset classes inherent in short
maturity high yield.
    Volatility control mechanism continuously adjusts the exposure to the PIMCO
0-5 Year High Yield Corporate Bond ETF with the aim of achieving a constant
realized volatility of 3%.
TICKER: JPUSHY3E

Recent Index Performance

                  July 2015 June 2015 May 2015  YTD
----------------- --------- --------- -------- ------
Historical Return  -0.45%    -1.62%    0.45%   -0.53%
----------------- --------- --------- -------- ------

J.P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com August 03, 2015

Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and
Correlation -- July 31, 2015

                                                                               Annualized
                                             One Year Two year                Returns Since Annualized Vol  Sharpe Ratio
 Correlation Since
                                          Annualized Return Annualized Return   Inception   Since Inception Since Inception
 Inception
----------------------------------------- ----------------------------------- ------------- --------------- ---------------
High Yield ETF Volatility Target Index 3%      -2.44%  0.62%                     2.96%          2.54%           1.16
----------------------------------------- ----------- ----------------------- ------------- --------------- ---------------
PIMCO 0-5 Year High Yield Corporate
                                               -0.55%  1.86%                     5.36%          3.85%           1.39
 90.24%
Bond Index ETF (Excess Return)
----------------------------------------- ----------- ----------------------- ------------- --------------- ---------------
Barclays Aggregate Bond Index (Excess
                                               2.44%   3.02%                     2.07%          3.14%           0.66
 -6.95%
Return)
----------------------------------------- ----------- ----------------------- ------------- --------------- ---------------

Notes
Hypothetical, historical performance measures: Represents the performance of
High Yield ETF Volatility Target Index 3% based on, as applicable to the
relevant measurement period, the actual daily closing levels from August 16,
2011 to July 31, 2015, the performance of the PIMCO 0-5 Year High Yield
Corporate Bond Index ETF (Excess Return), and the Barclays Aggregate Bond Index
(Excess Return) over the same period. For purposes of these examples, each
index was set equal to 100 at the beginning of the relevant measurement period
and returns are calculated arithmetically (not compounded). There is no
guarantee the High Yield ETF Volatility Target Index 3% will outperform the
PIMCO 0-5 year High Yield Corporate Bond Index ETF (Excess Return), the
Barclays Aggregate Bond Index (Excess Return) or any alternative investment
strategy. Sources: Bloomberg and JPMorgan.

PIMCO 0-5 Year High Yield Corporate Bond Index ETF (Excess Return) represents a
hypothetical index constructed from the total returns of the PIMCO 0-5 Year
High Yield Corporate Bond Index ETF with the returns of the Cash Index
deducted. Barclays Aggregate Bond Index (Excess Return) represents a
hypothetical index constructed from the returns of the Barclays Aggregate Index
with the returns of the Cash Index deducted.
Volatility: hypothetical, historical six-month annualized volatility levels are
presented for informational purposes only. Volatility levels are calculated
from the historical returns, as applicable to the relevant measurement period,
of the ETF Efficiente, PIMCO 0-5 Year High Yield Corporate Bond Index ETF
(Excess Return), and the Barclays Aggregate Bond Index (Excess Return).
Volatility represents the annualized standard deviation of the relevant index's
arithmetic daily returns since February 16, 2012. The Sharpe Ratio, which is a
measure of risk-adjusted performance, is computed as the ten year annualized
historical return divided by the ten year annualized volatility.
The back-tested, hypothetical, historical annualized volatility and index
returns may use substitutes for any ETF that was not in existence or did not
meet the liquidity standards at that particular time.
The back-tested, hypothetical, historical annualized volatility and index
returns have inherent limitations. These volatility and return results were
achieved by means of a retroactive application of a back-tested volatility
model designed with the benefit of hindsight. No representation is made that in
the future the relevant indices will have the volatility shown. Alternative
modeling techniques or assumptions might produce significantly different
results and may prove to be more appropriate. Actual annualized volatilities
and returns may vary materially from this analysis. Source: Bloomberg and
JPMorgan.
Cash Index: The JPMorgan Cash Index USD 3 Month (Ticker: JPCAUS3M Index)
Excess Return: An "excess return" Index is an Index that reflects a return on a
synthetic investment in underlying assets or portfolio of assets where the
investment was made through the use of borrowing funds. In the case of the High
Yield ETF Volatility Target Index 3%, the "excess return" is the level of the
Index less the "Cash Index".

Inception: August 16, 2011

Key Risks
 The level of the Index will include the deduction of a fee.
 The strategy may not be successful. It may not outperform an alternative
strategy related to the underlying Indexes.
 Our affiliate, JPMS plc, is the index calculation agent and Index Sponsor and
may adjust the index in a way that affects its level.  Changes in the value of
Index constituents may offset each other.
 The Index has a limited operating history and may perform in unanticipated
ways.
 The Index may not achieve its target volatility.
 The daily adjustment of exposure to the High Yield Constituent may vary, and
the Index may be potentially uninvested.  The Index is subject to short-term
borrowing costs.
  The 3-month USD LIBOR will be affected by a number of factors including
Federal Reserve Board policies, prevailing interest rates, general economic
conditions, and changes on or perceptions about future 3-month USD LIBOR
levels.
 An investment in the Index is subject to risks associated with fixed-income
securities, including interest rate risk and credit risk.
  The risks identified above are not exhaustive. You should review carefully
the related "Risk Factors" section in the relevant product supplement and
underlying supplement and the "Selected Risk Considerations" in the relevant
term sheet or pricing supplement.

DISCLAIMER
JPMorgan Chase & Co. ("J.P. Morgan") has filed a registration statement
(including a prospectus) with the Securities and Exchange Commission (the
"SEC") for any offerings to which these materials relate. Before you invest in
any offering of securities by J.P. Morgan, you should read the prospectus in
that registration statement, the prospectus supplement, as well as the
particular product supplement, the relevant term sheet or pricing supplement,
and any other documents that J.P. Morgan will file with the SEC relating to
such offering for more complete information about J.P. Morgan and the offering
of any securities. You may get these documents without cost by visiting EDGAR
on the SEC Website at www.sec.gov. Alternatively, J.P. Morgan, any agent, or
any dealer participating in the particular offering will arrange to send you
the prospectus and the prospectus supplement, as well as any product supplement
and term sheet or pricing supplement, if you so request by calling toll-free
(866) 535-9248.
Free Writing Prospectus filed pursuant to Rule 433; Registration Statement No.
333-199966

J.P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com August 03, 2015