Yes, JMP® does produce the process capability index, CPK. From within the Distribution output, select Capability Analysis from the column's red triangle menu.
To save the limits and target back to the data table, choose Save ► Spec Limits from the Process Capability red triangle menu in JMP 15 or higher. Prior to JMP 15, choose Save ► Spec Limits from the column's red triangle menu.
In JMP 10 and higher, the Capability platform is another tool available under the Analyze ► Quality and Process menu.
In JMP 9, the Capability platform is available under the Graph menu.
[Previously JMP Note 35334]