There are a few ways to change the Jenkins home directory:

• Edit the JENKINS_HOME variable in your Jenkins configuration file (e.g. /etc/sysconfig/jenkins on Red Hat Linux).
• Use your web container's admin tool to set the JENKINS_HOME environment variable.
• Set the environment variable JENKINS_HOME before launching your web container, or before launching Jenkins directly from the WAR file.
• Set the JENKINS_HOME Java system property when launching your web container, or when launching Jenkins directly from the WAR file.
• Modify web.xml in jenkins.war (or its expanded image in your web container). This is not recommended.

This value cannot be changed while Jenkins is running.
It is shown here to help you ensure that your configuration is taking effect.