replicate this pay-off using an ETF that tracks the S&P 500 and a mixture of options/forwards. Carefully explain how you will construct your portfolio. For simplicity assume that the S&P 500 index is equal to 100.
Helpful article:
https://www.fidelity.com/learning-center/investment-products/options/anatomy-of-a-covered-call
https://www.fidelity.com/viewpoints/active-investor/Protect-your-profits
The information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement is not an offer to sell nor does it seek an offer to buy these securities in any jurisdiction where the offer or sale is not permitted. Subject to completion dated February 1, 2022 February , 2022 Registration Statement Nos. 333-236659 and 333-236659-01; Rule 424(b)(2) Pricing supplement to product supplement no. 4-II dated November 4, 2020, underlying supplement no. 1-II dated November 4, 2020 and the prospectus and prospectus supplement, each dated April 8, 2020 JPMorgan Chase Financial Company LLC Structured Investments Capped Accelerated Barrier Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index due March 31, 2023 Fully and Unconditionally Guaranteed by JPMorgan Chase & Co. The notes are designed for investors who seek a return of 1.25 times any appreciation of the lesser performing of the S&P 500® Index and the Russell 2000® Index, which we refer to as the Indices, up to a maximum return of at least 20.00%, at maturity. Investors should be willing to forgo interest and dividend payments and be willing to lose some or all of their principal amount at maturity. The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes. Payments on the notes are not linked to a basket composed of the Indices. Payments on the notes are linked to the performance of each of the Indices individually, as described below. Minimum denominations of $1,000 and integral multiples thereof The notes are expected to price on or about February 28, 2022 and are expected to settle on or about March 3, 2022. CUSIP: 48133C6T4 Investing in the notes involves a number of risks. See “Risk Factors” beginning on page S-2 of the accompanying prospectus supplement, “Risk Factors” beginning on page PS-12 of the accompanying product supplement, “Risk Factors” beginning on page US-3 of the accompanying underlying supplement and “Selected Risk Considerations” beginning on page PS-4 of this pricing supplement. Neither the Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to the contrary is a criminal offense. Price to Public (1) Fees and Commissions (2) Proceeds to Issuer Per note $1,000 $ $ Total $ $ $ (1) See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the notes. (2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions it receives from us to other affiliated or unaffiliated dealers. In no event will these selling commissions exceed $7.25 per $1,000 principal amount note. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement. If the notes priced today, the estimated value of the notes would be approximately $974.60 per $1,000 principal amount note. The estimated value of the notes, when the terms of the notes are set, will be provided in the pricing supplement and will not be less than $900.00 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing supplement for additional information. The notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank. PS-1 | Structured Investments Capped Accelerated Barrier Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index Key Terms Issuer: JPMorgan Chase Financial Company LLC, an indirect, wholly owned finance subsidiary of JPMorgan Chase & Co. Guarantor: JPMorgan Chase & Co. Indices: The S&P 500® Index (Bloomberg ticker: SPX) and the Russell 2000® Index (Bloomberg ticker: RTY) Maximum Return: At least 20.00% (corresponding to a maximum payment at maturity of at least $1,200.00 per $1,000 principal amount note) (to be provided in the pricing supplement) Upside Leverage Factor: 1.25 Barrier Amount: With respect to each Index, 75.00% of its Initial Value Pricing Date: On or about February 28, 2022 Original Issue Date (Settlement Date): On or about March 3, 2022 Observation Date*: March 28, 2023 Maturity Date*: March 31, 2023 * Subject to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement Payment at Maturity: If the Final Value of each Index is greater than its Initial Value, your payment at maturity per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 × Lesser Performing Index Return × Upside Leverage Factor), subject to the Maximum Return If the Final Value of either Index is equal to or less than its Initial Value but the Final Value of each Index is greater than or equal to its Barrier Amount, you will receive the principal amount of your notes at maturity. If the Final Value of either Index is less than its Barrier Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 × Lesser Performing Index Return) If the Final Value of either Index is less than its Barrier Amount, you will lose more than 25.00% of your principal amount at maturity and could lose all of your principal amount at maturity. Lesser Performing Index: The Index with the Lesser Performing Index Return Lesser Performing Index Return: The lower of the Index Returns of the Indices Index Return: With respect to each Index, (Final Value – Initial Value) Initial Value Initial Value: With respect to each Index, the closing level of that Index on the Pricing Date Final Value: With respect to each Index, the closing level of that Index on the Observation Date PS-2 | Structured Investments Capped Accelerated Barrier Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index Hypothetical Payout Profile The following table and graph illustrate the hypothetical total return and payment at maturity on the notes linked to two hypothetical Indices. The “total return” as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000. The hypothetical total returns and payments set forth below assume the following: an Initial Value for the Lesser Performing Index of 100.00; a Maximum Return of 20.00%; an Upside Leverage Factor of 1.25; and a Barrier Amount for the Lesser Performing Index of 75.00 (equal to 75.00% of its hypothetical Initial Value). The hypothetical Initial Value of the Lesser Performing Index of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial Value of either Index. The actual Initial Value of each Index will be the closing level of that Index on the Pricing Date and will be provided in the pricing supplement. For historical data regarding the actual closing levels of each Index, please see the historical information set forth under “The Indices” in this pricing supplement. Each hypothetical total return or hypothetical payment at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable to a purchaser of the notes. The numbers appearing in the following table and graph have been rounded for ease of analysis. Final Value of the Lesser Performing Index Lesser Performing Index Return Total Return on the Notes Payment at Maturity 180.00 80.00% 20.00% $1,200.00 165.00 65.00% 20.00% $1,200.00 150.00 50.00% 20.00% $1,200.00 140.00 40.00% 20.00% $1,200.00 130.00 30.00% 20.00% $1,200.00 120.00 20.00% 20.00% $1,200.00 116.00 16.00% 20.00% $1,200.00 110.00 10.00% 12.50% $1,125.00 105.00 5.00% 6.25% $1,062.50 101.00 1.00% 1.25% $1,012.50 100.00 0.00% 0.00% $1,000.00 95.00 -5.00% 0.00% $1,000.00 90.00 -10.00% 0.00% $1,000.00 80.00 -20.00% 0.00% $1,000.00 75.00 -25.00% 0.00% $1,000.00 74.99 -25.01% -25.01% $749.90 70.00 -30.00% -30.00% $700.00 60.00 -40.00% -40.00% $600.00 50.00 -50.00% -50.00% $500.00 40.00 -60.00% -60.00% $400.00 30.00 -70.00% -70.00% $300.00 20.00 -80.00% -80.00% $200.00 10.00 -90.00% -90.00% $100.00 0.00 -100.00% -100.00% $0.00 PS-3 | Structured Investments Capped Accelerated Barrier Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index The following graph demonstrates the hypothetical payments at maturity on the notes for a sub-set of Lesser Performing Index Returns detailed in the table above (-50% to 50%). There can be no assurance that the performance of the Lesser Performing Index will result in the return of any of your principal amount. How the Notes Work Upside Scenario: If the Final Value of each Index is greater than its Initial Value, investors will receive at maturity the $1,000 principal amount plus a return equal to the Lesser Performing Index Return times the Upside Leverage Factor of 1.25, up to the Maximum Return of at least 20.00%. Assuming a hypothetical Maximum Return of 20.00%, an investor will realize the maximum payment at maturity at a Final Value of the Lesser Performing Index of 116.00% or more of its Initial Value. If the closing level of the Lesser Performing Index increases 5.00%, investors will receive at maturity a 6.25% return, or $1,062.50 per $1,000 principal amount note. Assuming a hypothetical Maximum Return of 20.00%, if the closing level of the Lesser Performing Index increases 50.00%, investors will receive at maturity a return equal to the 20.00% Maximum Return, or $1,200.00 per $1,000 principal amount note, which is the maximum payment at maturity. Par Scenario: If the Final Value of either Index is equal to or less than its Initial Value but the Final Value of each Index is greater than or equal to its Barrier Amount of 75.00% of its Initial Value, investors will receive at maturity the principal amount of their notes. Downside Scenario: If the Final Value of either Index is less than its Barrier Amount of 75.00% of its Initial Value, investors will lose 1% of the principal amount of their notes for every 1% that the Final Value of the Lesser Performing Index is less than its Initial Value. For example, if the closing level of the Lesser Performing Index declines 60.00%, investors will lose 60.00% of their principal amount and receive only $400.00 per $1,000 principal amount note at maturity. The hypothetical returns and hypothetical payments on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower. PS-4 | Structured Investments Capped Accelerated Barrier Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index Selected Risk Considerations An investment in the notes involves significant risks. These risks are explained in more detail in the “Risk Factors” sections of the accompanying prospectus supplement, product supplement and underlying supplement. Risks Relating to the Notes Generally YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal. If the Final Value of either Index is less than its Barrier Amount, you will lose 1% of the principal amount of your notes for every 1% that the Final Value of the Lesser Performing