J.P. Morgan Strategic Volatility Index
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OVERVIEW

The J.P. Morgan Strategic Volatility Index (the "Index" or "Strategic 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.

Hypothetical historical performance comparison: Strategic
Vol Index and SandP 500(R) Index - Sep 2006 to Sep 2011
[GRAPHIC OMITTED]
Source: J.P. Morgan. PAST PERFORMANCE AND BACK-TESTED PERFOMANCE ARE NOT
INDICATIVE OF FUTURE RESULTS. The Strategic 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.

Brief Background on Volatility Investing

o    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.

o    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.

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

o    The VIX futures curve is often in "contango"2 which 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:
Jan 2000 to Sep 2011
[GRAPHIC OMITTED]
Source: J.P. Morgan. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. The
VIX Index is not an investable Index. The Strategic Vol Index is not linked to
the VIX Index. The information in this chart is provided solely for reference.

Hypothetical historical returns and volatilities: Strategic Vol
Index and SandP 500(R) Index - Sep 2006 to Sep 2011
                                            Annualized               Annualized
                                              Return                 Volatility
-------------------------------------------------------------------------------
Strategic Vol Index                           38.97%                    33.7%
-------------------------------------------------------------------------------
SandP 500(R)  Index                           -1.83%                    25.9%
-------------------------------------------------------------------------------
80/20 SandP 500(R)  Index
/ Strategic Vol Index                          8.70%                    17.2%
-------------------------------------------------------------------------------
Source: J.P. Morgan. 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 / Strategic Vol Index" means a portfolio that is allocated
80% to SandP 500(R) Index and 20% to Strategic Vol Index that is rebalanced
quarterly. The Strategic Vol Index was launched on 7/30/2010, therefore any data
used for that Index prior to that date is back-tested. The information in this
chart is provided solely for reference.

How the Index Works

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

o    An opportunistic short position at the 1-month 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 the VIX curve in those market conditions.

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

o    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).

o    The Index level incorporates a 0.75% p.a. index fee, as well as additional
     deductions related to the notional rebalancing of the VIX futures
     contracts(3).

Illustration of a futures curve in contango
[GRAPHIC OMITTED]
negative roll yield from sliding down
a futures curve that is in contango

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% p.a. 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                      September 29, 2011

Hypothetical historical illustration of the exposure to the short component of
the Strategic Vol Index: Sep 2006 to Sep 2011
[GRAPHIC OMITTED]
Source: J.P. Morgan. PAST PERFORMANCE AND BACK-TESTED PERFORMANCE ARE NOT
INDICATIVE OF FUTURE LEVELS. The Strategic Vol 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

o    The reported level of the Index incorporates the daily deduction of (a) an
     index fee of 0.75% p.a. 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.

o    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?

o    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.

o    The Index has limited operating history.

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

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

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

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

o    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.

o    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.

o    The Index comprises only notional assets and liabilities.

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

o    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.

o    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 W eb 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.
333-155535

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                      September 29, 2011