Yes, it is possible.
In the Univariate Distribution report, select Capability Analysis from the red triangle in the column title bar and enter the required values in the dialog that appears. If you want to save the specification limits to the data table, select Save > Spec Limits from the same triangle.
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You can also calculate process capability for the control chart by checking the [Process Capability] box on the variable selection screen. In this case, the process capability calculated using the sigma used in the control chart will also be output.
In addition, in JMP 10 and later, the Analyze > Quality and Process > Process Capability platform allows you to display process capability indices for multiple variables in a table format.
From the red triangle button in the Process Capability Report, select Summary Report -> Within Sigma Summary Report/Overall Sigma Summary Report.

In JMP 13 and later, the Process Screening platform in the Analyze > Screening menu (in JMP 17, in the Analyze > Quality and Process menu) allows you to study many processes over a period of time. This platform calculates indices of process stability and capability, including CPK.