Free Writing Prospectus

Filed Pursuant to Rule 433

Registration Statement No. 333-199966

Dated October 5, 2015

J.P. Morgan U.S. Sector Rotator 5 Index (Series 1) Performance Update - October 2015 OVERVIEW The J.P. Morgan U.S. Sector Rotator 5 Index (Series 1) (the "Index" or "U.S. Sector Rotator 5 Index") is a notional rules-based proprietary index that, on a monthly basis, tracks the excess return of a synthetic portfolio of (i) up to five U.S. Sector Constituents, which are U.S. sector exchange-traded funds, that are selected according to their past month return with a volatility feature, or, (ii) the U.S. Sector Constituents that meet the selection criteria and the Bond Constituent, which is the PIMCO Total Return Active Exchange-Traded Fund. Hypothetical and Actual Historical Performance -September 30, 2005 to September 30, 2015 [GRAPHIC OMITTED] * See "Notes" on following page Key Features of the Index The strategy is based on a universe of 11 investible underlyings (10 ETFs across U.S. sectors and an ETF representing fixed income exposure) Monthly rebalancing of portfolio allocation, with all positions financed by short term borrowing of cash. Targets a volatility of 5% Daily deduction of a fee of 0.50% per annum Levels published on Bloomberg under the ticker JPUSSC5E. [GRAPHIC OMITTED] Hypothetical and Actual Historical Volatility --March 30, 2006 to September 30, 2015 [GRAPHIC OMITTED] Recent Index Performance Historical Performance Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year ----------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ --------- 2015 -0.31% -0.32% -0.88% -0.77% 0.17% -0.56% 0.79% -2.46% -0.87% -5.12% ----------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ --------- 2014 -2.39% 1.25% -0.07% 1.24% 0.65% 0.83% -1.33% 2.16% -0.43% 1.41% 0.97% -0.38% 3.88% ----------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ --------- 2013 1.78% 0.43% 2.14% 1.91% -1.18% -0.41% 1.09% -1.47% 1.67% 1.62% 0.91% 1.25% 10.12% ----------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ --------- 2012 0.32% 1.04% 1.50% 0.03% -0.21% 0.60% 0.33% -0.34% 1.23% -0.36% 0.20% 0.13% 4.55% ----------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ --------- 2011 1.26% 1.34% -0.06% 1.14% 0.78% -0.92% 0.91% -1.08% -1.66% 0.89% -0.14% 1.69% 4.16% ----------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ --------- ** As calculated though September 30, 2015 Recent Index Composition Consumer Consumer Month Discretionary Staples Select Energy Select Financial Health Care Industrial Utilities Select Materials Technology iShares US Select Sector Sector SPDR Sector SPDR Select Sector Select Sector Select Sector Sector SPDR Select Sector Select Sector Real Estate PIMCO Total Return Active SPDR Fund Fund Fund SPDR Fund SPDR Fund SPDR Fund Fund SPDR Fund SPDR Fund ETF Exchange-Traded Fund ------------ ------------- -------------- ------------- ------------- ------------- ------------- ---------------- ------------- ------------- ----------- ------------------------- October 15 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 5.79% 0.00% 0.00% 5.39% 55.31% ------------ ------------- -------------- ------------- ------------- ------------- ------------- ---------------- ------------- ------------- ----------- ------------------------- September 15 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 100.00% ------------- -------------- ------------- ------------- ------------- ------------- ---------------- ------------- ------------- ----------- -------------------------

Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and Correlation -- September 30, 2015 Three Year Five Year Annualized Ten Year Annualized Ten Year Annualized Ten Year Sharpe Annualized Return Return Return Volatility Ratio Ten Year Correlation --------------------------------------- ----------------- -------------------- ------------------- ------------------- --------------- -------------------- J.P. Morgan U.S. Sector Rotator 5 Index 2.75% 3.99% 3.31% 4.60% 0.72 100.00% (Series 1) --------------------------------------- ----------------- -------------------- ------------------- ------------------- --------------- -------------------- S&P 500 Index (Excess Return) 11.93% 12.79% 4.69% 20.70% 0.23 54.38% --------------------------------------- ----------------- -------------------- ------------------- ------------------- --------------- -------------------- JPM US Gov Bond Index (Excess Return) 1.00% 2.18% 2.43% 4.79% 0.51 -16.21% Notes [GRAPHIC OMITTED] 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 underlying 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 (800) 576-3529. Free Writing Prospectus filed pursuant to Rule 433; Registration Statement No. 333-199966