ImageMagick-6.8.8.10 no longer supports JPEG-2000 format (.jp2 extension). Previous version (6.8.6.3-3) could.
Ah I see that this update has been unpushed from updates-testing, sorry for the noise.
This bug is actually still present in this version, which is still distributed with fedora 22 and 21: re-filed as bug 1267391.