The SandP 500[R] Risk Control 10% Excess Return Index

Performance Update - October 2015

OVERVIEW
The SandP 500[R] Risk Control 10% Excess Return Index (the "Index") provides
investors with a broad U.S. equities index that has the potential for greater
stability and lower overall risk when compared to the SandP 500[R] Total Return
Index.

Hypothetical and Actual Historical Performance (September 30, 2005 to September
30, 2015)[1]
[GRAPHIC OMITTED]
Key Features of the Index

o    Exposure to the SandP 500[R] Total Return Index with the benefit of a risk
control mechanism that targets an annualized volatility of 10% or less

o Algorithmic exposure adjusted on a daily basis with the ability to employ
leverage of up to 150% during periods of low volatility

o  Levels  published  daily by Standard and Poor's on Bloomberg under the ticker
SPXT10UE.

[GRAPHIC OMITTED]
Hypothetical Index Volatility and Leverage Through September 30, 2015[2]
[GRAPHIC OMITTED]

Recent Index Performance
                         September 2015 August 2015 July 2015
------------------------ -------------- ----------- ---------
Historical Return            -0.96%       -7.43%     1.83%
------------------------ -------------- ----------- ---------

Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and
Correlation -- September 30, 2015

                                               Three Year Five Year  Ten Year   Ten Year
                                     One Year  Annualized Annualized Annualized Annualized      Ten Year
                                     Return(1)  Return(1)  Return(1)  Return(1) Volatility(3) Sharpe Ratio(4) Correlation(5)
------------------------------------ --------- ---------- ---------- ---------- ------------- --------------- --------------
SandP 500[R] Risk Control 10% Excess  -4.91%     7.47%      6.95%      4.09%     10.18%           0.40            -
Return Index
------------------------------------ --------- ---------- ---------- ---------- ------------- --------------- --------------
SandP 500[R] Index                    -2.65%    10.03%     10.96%      4.56%     20.69%           0.22         83.72%

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

Notes

(1) Represents the performance of the Index based on, as applicable to the
relevant measurement period, the hypothetical backtested daily Index closing
levels from September 30, 2005
 through May 13, 2009, and the actual historical performance of the Index based
on the daily Index closing level from May 14, 2009 through September 30, 2015,
as well as the performance of the SandP 500[R] Index 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 calculated arithmetically (not
compounded). There is no guarantee the Index will outperform the SandP 500[R]
Index or any alternative investment strategy. Source: Bloomberg and JPMorgan.

(2) Volatility is calculated from the historical returns, as applicable to the
relevant measurement period, of the SandP 500[R] Total Return Index (the
"Underlying Index") over a six-month observation period. For any given day,
represents the annualized standard deviation of the Underlying Index's
arithmetic daily returns for the 126-index day period preceding that day. The
index leverage is the hypothetical back-tested amount of exposure of the Index
to the Underlying Index and should not be considered indicative of the actual
leverage that would be assigned during your investment in the Index. The
back-tested, hypothetical, historical six-month annualized volatility and index
leverage have inherent limitations. These volatility and leverage 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 Underlying Index will have the volatility as shown. Alternative
modeling techniques or assumptions might produce significantly different
results and may prove to be more appropriate. Actual six-month annualized
volatilities and leverage may vary materially from this analysis. Source:
Bloomberg and JPMorgan.

[3] Calculated based on the annualized standard deviation for the ten year
period prior to September 30, 2015.

(4)   For  the  above  analysis,  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. (5) Correlation refers to
the  degree  the  SandP  500[R] Risk Control 10% Excess Return Index has changed
relative  to  daily  changes  in  the SandP 500[R] Index for the ten year period
prior to September 30, 2015.

Key Risks

o  The  Index has a limited operating history and may perform in unexpected ways
--  the  Index  began  publishing  on May 13, 2009 and, therefore, has a limited
history.  SandP  has  calculated the returns that hypothetically might have been
generated  had the Index existed in the past, but those calculations are subject
to  many  limitations  and do not reflect actual trading, liquidity constraints,
fees and other costs.


o  The  Index may not be successful, may not outperform the Underlying Index and
may  not  achieve  its  target  volatility  --no assurance can be given that the
volatility  strategy  will  be  successful or that the Index will outperform the
Underlying  Index  or  any alternative strategy that might be employed to reduce
the  level  of  risk  of the Underlying Index. We also can give you no assurance
that the Index will achieve its target volatility of 10%.


o  The  Index  is  not  a  total return index and is subject to short-term money
market fund borrowing costs-- as an "excess return" index, the SandP 500[R] Risk
Control  10%  Excess  Return  Index  calculates  the  return  on  a leveraged or
deleveraged  investment  in  the  Underlying Index where the investment was made
through  the  use  of borrowed funds. Investments linked to this "excess return"
index,  which  represents  an unfunded position in the Underlying Index, will be
subject to short-term money market fund borrowing costs and will not include the
"total  return" feature or the cash component of the "total return" index, which
represents a funded position in the Underlying Index.


o  The  Index  represents  a  portfolio consisting of the Underlying Index and a
borrowing  cost  component  accruing interest based on U.S. overnight LIBOR. The
Index  dynamically  adjusts  its  exposure  to the Underlying Index based on the
Underlying  Index's  historic volatility. The Index's exposure to the Underlying
Index  will  decrease  when  historical  volatility causes the risk level of the
Underlying  Index to reach a high threshold. If, at any time, the Index exhibits
low  exposure  to  the  Underlying  Index  and the Underlying Index subsequently
appreciates  significantly,  the  Index  will  not  participate  fully  in  this
appreciation.

Key Risks Continued


o  The  Index  represents  a  portfolio consisting of the Underlying Index and a
borrowing  cost  component  accruing interest based on U.S. overnight LIBOR. The
Index  dynamically  adjusts  its  exposure  to the Underlying Index based on the
Underlying  Index's  historic volatility. The Index's exposure to the Underlying
Index  will  decrease  when  historical  volatility causes the risk level of the
Underlying  Index to reach a high threshold. If, at any time, the Index exhibits
low  exposure  to  the  Underlying  Index  and the Underlying Index subsequently
appreciates  significantly,  the  Index  will  not  participate  fully  in  this
appreciation.

The risks identified above are not exhaustive. You should also review carefully
the related "Risk Factors" section in the relevant product supplement and the
"Selected Risk Considerations" in the relevant term sheet or pricing
supplement.

Index Disclaimers

"Standard and Poor's[R]," "SandP[R]," "SandP 500[R]" and "SandP 500[R] Risk
Control 10%" are trademarks of the McGraw-Hill Companies, Inc. and have been
licensed for use by J.P. Morgan Securities LLC. This transaction is not
sponsored, endorsed, sold or promoted by SandP, and SandP makes no
representation regarding the advisability of purchasing CDs issued by JPMorgan
Chase Bank, N.A. SandP has no obligation or liability in connection with the
administration, marketing, or trading of products linked to the SandP 500[R]
Risk Control 10% Excess Return Index.

For more information on the Index and for additional key risk information see
Page 4 of the Strategy Guide at
http://www.sec.gov/Archives/edgar/data/19617/000095010312005330/dp33455_fwp-sp5
00.htm

DISCLAIMER

JPMorgan Chase and 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