##### Table of Contents





UNITED STATES
    SECURITIES AND EXCHANGE COMMISSION
    WASHINGTON, D.C. 20549
  FORM 10-Q
  (X) QUARTERLY REPORT PURSUANT TO SECTION 13 OR
    15(d)
  OF THE SECURITIES EXCHANGE ACT OF 1934
  For the quarterly period ended June 30, 2010
  OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR
    15(d)
  OF THE SECURITIES EXCHANGE ACT OF 1934
  
  0-50271
  ORION FUTURES FUND L.P.
    New York

22-3644546(State or other jurisdiction of
    incorporation or organization)

(I.R.S. Employer
    Identification No.)   c/o Ceres
    Managed Futures LLC
    522 Fifth  Avenue  14th Floor
    New York, New York 10036
    (212) 296-1999
       Yes X  No
    Yes   No
  Rule 12b-2
  Large accelerated filer
    Accelerated filer
    Non-accelerated filer X
    Smaller reporting company   Rule 12b-2
  Yes   No X




---



##### 



ORION FUTURES FUND L.P.
  FORM 10-Q
  INDEX
  PageNumberPART I - Financial Information:Item 1.


Financial Statements:Statements of Financial Condition at
June 30, 2010 and December 31, 2009 (unaudited)

3Condensed Schedules of Investments at
June 30, 2010 and December 31, 2009 (unaudited)

4  5Statements of Income and Expenses
    and Changes in Partners Capital for the three and six months
    ended June 30, 2010 and 2009 (unaudited)

6Notes to Financial Statements (unaudited)

7  21Item 2.


Managements Discussion and Analysis
    of Financial Condition and Results of Operations

22  25Item 3.


Quantitative and Qualitative
    Disclosures about Market Risk

26  28Item 4.


Controls and Procedures

29PART II - Other Information

30  33Exhibits31.1       Certification31.2       Certification32.1       Certification32.2       CertificationEX-31.1EX-31.2EX-32.1EX-32.2  2




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##### Table of Contents



PART I Item 1. Financial Statements Orion Futures Fund L.P.Statements of Financial Condition
    (Unaudited)
  June 30,


December 31,2010


2009Assets:Investment in Funds, at fair value

    $
    855,722,358


$
714,110,396Equity in trading account:Cash

    
    163,849,962



100,683,304Cash margin

    
    9,793,199



9,063,690Net unrealized appreciation on open futures contracts

    
    4,080,369



3,055,807Net unrealized appreciation on open forward contracts

    
    970,252



950,175Options purchased, at fair value (cost $765,725 and $0 at June 30, 2010 and December
31, 2009, respectively)

    
    537,190



1,034,953,330



827,863,372Interest receivable

    
    12,046



1,562Total assets

    $
    1,034,965,376


$
827,864,934Liabilities and Partners Capital:Liabilities:Accrued expenses:Brokerage commissions

    $
    2,542,494


$
1,986,385Management fees

    
    1,537,598



1,254,174Administrative fees

    
    430,154



344,078Incentive fees

    
    1,888,941


    
Other

    
    54,445



93,103Redemptions payable

    
    10,819,326



8,400,640Total liabilities

    
    17,272,958



12,078,380Partners Capital:General
Partner, 4,077.3782 and 2,943.3393 unit equivalents
    outstanding at June 30, 2010 and December 31, 2009, respectively

    
    10,613,864



7,926,943Limited
Partners, 386,874.8297 and 299,965.0835 Redeemable Units outstanding at  June 30, 2010
and December 31, 2009,
    respectively

    
    1,007,078,554



807,859,611Total partners capital

    
    1,017,692,418



815,786,554Total liabilities and partners capital

    $
    1,034,965,376


$
827,864,934Net asset value per unit

    $
    2,603.11


$
2,693.18    3




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##### Table of Contents



Orion Futures Fund L.P.Condensed Schedule of Investments
June 30, 2010
(Unaudited)
 Notional($)/
    
    
    
    
    
    % of PartnersNumber of Contracts
    
    


    Fair Value
    
    

    CapitalFutures
Contracts PurchasedCurrencies
    
    
    738
    
    
    $
    901,706
    
    
    
    0.09
    %Grains
    
    
    193
    
    
    
    (186,948
    )
    
    
    (0.02
    )Interest Rates U.S.
    
    
    972
    
    
    
    1,365,736
    
    
    
    0.13Interest
Rates Non-U.S.
    
    
    460
    
    
    
    885,464
    
    
    
    0.09Metals
    
    
    205
    
    
    
    63,535
    
    
    
    0.01Softs
    
    
    347
    
    
    
    1,243,262
    
    
    
    0.12Total futures contracts purchased
    
    
    
    
    
    
    4,272,755
    
    
    
    0.42Futures Contracts SoldCurrencies
    
    
    186
    
    
    
    (82,893
    )
    
    
    (0.01
    )Energy
    
    
    39
    
    
    
    18,811
    
    
    
    0.00
    *Grains
    
    
    576
    
    
    
    (303,378
    )
    
    
    (0.03
    )Indices
    
    
    3
    
    
    
    2,348
    
    
    
    0.00
    *Interest
Rates Non-U.S.
    
    
    183
    
    
    
    (22,412
    )
    
    
    (0.00
    )*Metals
    
    
    150
    
    
    
    195,138
    
    
    
    0.02Total futures contracts sold
    
    
    
    
    
    
    (192,386
    )
    
    
    (0.02
    )Unrealized Appreciation on Open Forward ContractsCurrencies
    
    $
    37,909,700
    
    
    
    111,593
    
    
    
    0.01Metals
    
    
    2,395
    
    
    
    23,182,762
    
    
    
    2.28Total unrealized appreciation on open forward contracts
    
    
    
    
    
    
    23,294,355
    
    
    
    2.29Unrealized Depreciation on Open Forward ContractsCurrencies
    
    $
    37,870,020
    
    
    
    (111,553
    )
    
    
    (0.01
    )Metals
    
    
    2,538
    
    
    
    (22,212,550
    )
    
    
    (2.18
    )Total unrealized depreciation on open forward contracts
    
    
    
    
    
    
    (22,324,103
    )
    
    
    (2.19
    )Options PurchasedMetalsPut
    
    
    60
    
    
    
    470,190
    
    
    
    0.04EnergyCall
    
    
    300
    
    
    
    67,000
    
    
    
    0.01Total options purchased
    
    
    
    
    
    
    537,190
    
    
    
    0.05Investment in FundsAAA Master Fund LLC
    
    
    
    
    
    
    267,888,543
    
    
    
    26.32CMF Willowbridge Argo Master Fund LP
    
    
    
    
    
    
    148,056,757
    
    
    
    14.55CMF Winton Master LP
    
    
    
    
    
    
    439,777,058
    
    
    
    43.21Total investment in Funds
    
    
    
    
    
    
    855,722,358
    
    
    
    84.08Total fair value
    
    
    
    
    
    $
    861,310,169
    
    
    
    84.63
    %
   4




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Orion Futures Fund L.P.
    Condensed Schedule of Investments
    December 31, 2009
    (Unaudited)
   Number of





% of PartnersContracts


Fair Value


CapitalFutures Contracts PurchasedCurrencies


254


$
419,773



0.05
%Energy


364



129,842



0.02Grains


402



91,185



0.01Interest Rates
    Non-U.S.


127



(21,825
)


(0.00
)*Livestock


84



38,440



0.00
*Metals


222



(140,327
)


(0.02
)Softs


342



560,264



0.07Total futures contracts purchased






1,077,352



0.13Futures Contracts SoldCurrencies


635



1,761,778



0.22Energy


5



10,950



0.00
*Interest Rates U.S.


381



438,625



0.05Interest Rates Non-U.S.


413



61,615



0.01Metals


58



(294,513
)


(0.04
)Total futures contracts sold






1,978,455



0.24Unrealized Appreciation on Open Forward ContractsMetals


287



3,563,843



0.44Total unrealized appreciation on open forward contracts






3,563,843



0.44Unrealized Depreciation on Open Forward ContractsMetals


222



(2,613,668
)


(0.32
)Total unrealized depreciation on open forward contracts






(2,613,668
)


(0.32
)Investment in FundsAAA Master Fund LLC






284,764,800



34.91CMF Willowbridge Argo Master Fund LP






135,945,983



16.66CMF Winton Master LP






293,399,613



35.97Total investment in Funds






714,110,396



87.54Total fair value





$
718,116,378



88.03
%  ­
    ­
    5




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##### Table of Contents



Orion Futures Fund L.P.
Statements of Income and Expenses and Partners Capital
(Unaudited)
 Three Months Ended
    
    
    Six Months EndedJune 30,
    
    
    June 30,2010
    
    
    2009
    
    
    2010
    
    
    2009Income:Net gains on trading of commodity interests and investment in
Funds:Net realized gains (losses) on closed contracts
    
    $
    (5,011,612
    )
    
    $
    3,812,584
    
    
    $
    (10,462,411
    )
    
    $
    (751,401
    )Net realized gains (losses) on investment in Funds
    
    
    17,146,045
    
    
    
    132,524,196
    
    
    
    (6,978,218
    )
    
    
    128,156,562Change in net unrealized gains (losses) on open contracts
    
    
    1,876,219
    
    
    
    (1,364,015
    )
    
    
    816,104
    
    
    
    (1,264,528
    )Change in net unrealized gains (losses) on investment
in Funds
    
    
    (16,038,672
    )
    
    
    (126,151,472
    )
    
    
    5,224,631
    
    
    
    (123,406,652
    )Gain (loss) from, trading net
    
    
    (2,028,020
    )
    
    
    8,821,293
    
    
    
    (11,399,894
    )
    
    
    2,733,981Interest income
    
    
    53,498
    
    
    
    18,382
    
    
    
    73,264
    
    
    
    38,079Interest income from investment in Funds
    
    
    236,448
    
    
    
    134,830
    
    
    
    341,726
    
    
    
    276,123Total income (loss)
    
    
    (1,738,074
    )
    
    
    8,974,505
    
    
    
    (10,984,904
    )
    
    
    3,048,183Expenses:Brokerage commissions, including clearing fees
    
    
    3,343,016
    
    
    
    1,904,782
    
    
    
    6,254,200
    
    
    
    3,304,933Management fees
    
    
    4,533,511
    
    
    
    3,186,549
    
    
    
    8,528,949
    
    
    
    6,259,910Administrative fees
    
    
    1,264,277
    
    
    
    862,222
    
    
    
    2,369,466
    
    
    
    1,696,445Incentive fees
    
    
    1,888,941
    
    
    
    
    
    
    
    1,888,941
    
    
    
    3,102,122Other
    
    
    223,256
    
    
    
    126,022
    
    
    
    439,363
    
    
    
    249,952Total expenses
    
    
    11,253,001
    
    
    
    6,079,575
    
    
    
    19,480,919
    
    
    
    14,613,362Net income (loss)
    
    
    (12,991,075
    )
    
    
    2,894,930
    
    
    
    (30,465,823
    )
    
    
    (11,565,179
    )Additions   Limited Partner
    
    
    134,253,000
    
    
    
    78,779,000
    
    
    
    288,432,330
    
    
    
    134,732,000Additions   General Partner
    
    
    1,275,000
    
    
    
    
    
    
    
    2,975,000
    
    
    
    Redemptions  Limited Partners
    
    
    (32,346,547
    )
    
    
    (40,765,633
    )
    
    
    (59,035,643
    )
    
    
    (87,393,640
    )Net increase (decrease) in Partners Capital
    
    
    90,190,378
    
    
    
    40,908,297
    
    
    
    201,905,864
    
    
    
    35,773,181Partners Capital, beginning of period
    
    
    927,502,040
    
    
    
    643,751,737
    
    
    
    815,786,554
    
    
    
    648,886,853Partners Capital, end of period
    
    $
    1,017,692,418
    
    
    $
    684,660,034
    
    
    $
    1,017,692,418
    
    
    $
    684,660,034Net asset value per unit
(390,952.2079 and 245,627.9662  units
outstanding at June 30, 2010 and 2009, respectively)
    
    $
    2,603.11
    
    
    $
    2,787.39
    
    
    $
    2,603.11
    
    
    $
    2,787.39Net income (loss) per Redeemable Unit and General Partner unit equivalent
    
    $
    (33.04
    )
    
    $
    11.53
    
    
    $
    (90.07
    )
    
    $
    (49.54
    )Weighted average units outstanding
    
    
    384,455.1375
    
    
    
    246,776.1915
    
    
    
    360,606.6129
    
    
    
    241,280.3379See Accompanying Notes to Financial Statements.
 6




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##### Table of Contents



Orion Futures Fund L.P.Notes to Financial StatementsJune 30, 2010
    (Unaudited)
  1.
    General:          Form 10-K
           7




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##### Table of Contents



Orion
    Futures Fund L.P.
    Notes to Financial Statements
June 30, 2010
    (Unaudited)
  2.
    Financial
    Highlights:   Three Months Ended
    
    
    Six Months MonthsJune 30,
    
    
    June 30,2010
    
    
    2009
    
    
    2010
    
    
    2009Net realized and unrealized gains (losses) *
    
    $
    (13.21
    )
    
    $
    27.89
    
    
    $
    (54.81
    )
    
    $
    (3.57
    )Interest income
    
    
    0.76
    
    
    
    0.62
    
    
    
    1.13
    
    
    
    1.30Expenses **
    
    
    (20.59
    )
    
    
    (16.98
    )
    
    
    (36.39
    )
    
    
    (47.27
    )Increase (decrease) for the period
    
    
    (33.04
    )
    
    
    11.53
    
    
    
    (90.07
    )
    
    
    (49.54
    )Net asset value per Redeemable Unit, beginning of period
    
    
    2,636.15
    
    
    
    2,775.86
    
    
    
    2,693.18
    
    
    
    2,836.93Net asset value per Redeemable Unit, end of period
    
    $
    2,603.11
    
    
    $
    2,787.39
    
    
    $
    2,603.11
    
    
    $
    2,787.39
 
 *
    
    Includes brokerage commissions**
    
    Excludes brokerage commissions Ratios to Average Net Assets:***Net investment loss before incentive fees****
    
    
    (3.7)
    %
    
    
    (3.6
    )%
    
    
    (3.8
    )%
    
    
    (3.4
    )%Operating expense
    
    
    3.8
    %
    
    
    3.7
    %
    
    
    3.9
    %
    
    
    3.5
    %Incentive fees
    
    
    0.2
    
    
    
    
    
    
    
    0.2
    
    
    
    0.5Total expenses
    
    
    4.0
    %
    
    
    3.7
    %
    
    
    4.1
    %
    
    
    4.0
    %Total return:Total return before incentive fees
    
    
    (1.1)
    %
    
    
    0.4
    %
    
    
    (3.2
    )%
    
    
    (1.3
    )%Incentive fees
    
    
    (0.2
    )
    
    
    
    
    
    
    (0.1
    )
    
    
    (0.5
    )Total return after incentive fees
    
    
    (1.3)
    %
    
    
    0.4
    %
    
    
    (3.3
    )%
    
    
    (1.8
    )%
   ***
    
    Annualized (other than incentive fees).  ****
    
    Interest income less total expenses.    3.
    Trading
    Activities:       8




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
June 30, 2010
    (Unaudited)
     June 30, 
2010AssetsFutures ContractsCurrencies
    
    $
    1,100,994Energy
    
    
    18,811Grains
    
    
    9,517Indices
    
    
    2,347Interest Rates U.S.
    
    
    1,365,736Interest Rates Non-U.S.
    
    
    885,464Metals
    
    
    416,263Softs
    
    
    1,425,638Total unrealized appreciation
on
open futures contracts
    
    $
    5,224,770LiabilitiesFutures ContractsCurrencies
    
    $
    (282,181
    )Grains
    
    
    (499,842
    )Interest Rates Non-U.S.
    
    
    (22,412
    )Metals
    
    
    (157,590
    )Softs
    
    
    (182,376
    )Total unrealized depreciation
on
open futures contracts
    
    $
    (1,144,401
    )Net unrealized appreciation on open futures contracts
    
    $
    4,080,369
    *
 
 *
    
    This amount is in Net unrealized appreciation on open futures contracts on the
Statements of Financial Condition. June 30, 
2010AssetsForward ContractsCurrencies
    
    $
    111,593Metals
    
    
    23,182,762Total unrealized appreciation on open forward contracts
    
    $
    23,294,355LiabilitiesForward ContractsCurrencies
    
    $
    (111,553
    )Metals
    
    
    (22,212,550
    )Total unrealized depreciation on open forward contracts
    
    $
    (22,324,103
    )Net unrealized appreciation on open forward contracts
    
    $
    970,252
    **
 
 **
    
    This amount is in Net unrealized appreciation on open forward contracts on the
Statements of Financial Condition. June 30, 
2010AssetsOptions PurchasedEnergy
    
    $
    67,000Metals
    
    
    470,190Options purchased
    
    $
    537,190
    ***
 
 ***
    
    This amount is in Options purchased, at fair value on
the
Statements of Financial Condition.  9




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
June 30, 2010
    (Unaudited)
  December 31,2009AssetsFutures ContractsCurrencies

$
2,181,550Energy


199,794Grains


110,773Interest Rates U.S.


438,625Interest Rates Non-U.S.


210,400Livestock


38,440Metals


181,742Softs


663,038Total unrealized appreciation on open futures contracts

$
4,024,362LiabilitiesFutures ContractsEnergy

$
(59,002
)Grains


(19,587
)Interest Rates Non-U.S.


(170,609
)Metals


(616,583
)Softs


(102,774
)Total unrealized depreciation on open futures contracts

$
(968,555
)Net unrealized appreciation on open futures contracts

$
3,055,807
*     *
    
    This amount is in Net unrealized appreciation on open
    futures contracts on the Statements of Financial Condition.  AssetsForward ContractsMetals

$
3,563,843Total unrealized appreciation onopen forward contracts

$
3,563,843LiabilitiesForward ContractsMetals

$
(2,613,668
)Total unrealized depreciation onopen forward contracts

$
(2,613,668
)Net unrealized appreciation on open forward contracts

$
950,175
**     **
    
    This amount is in Net unrealized appreciation on open
    forward contracts on the Statements of Financial Condition.  10




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
June 30, 2010
    (Unaudited)
   Three Months Ended
    
    
    Three Months Ended
    
    
    Six Months Ended
    
    
    Six Months EndedJune 30, 2010
    
    
    June 30, 2009
    
    
    June 30, 2010
    
    
    June 30, 2009Sector
    
    Gain (loss) from trading
    
    
    Gain (loss) from trading
    
    
    Gain (loss) from trading
    
    
    Gain (loss) from tradingCurrencies
    
    $
    1,413,937
    
    
    $

    161,082
    
    
    $
    1,884,659
    
    
    $
    (261,735
    )Energy
    
    
    (7,119,232
    )
    
    
    1,034,011
    
    
    
    (10,350,020
    )
    
    
    75,171Grains
    
    
    (2,674,113
    )
    
    
    1,611,216
    
    
    
    (2,998,726
    )
    
    
    1,036,465Indices
    
    
    4,723
    
    
    
    
    
    
    
    4,723
    
    
    
    Interest Rates U.S.
    
    
    3,162,908
    
    
    
    (67,923
    )
    
    
    1,209,089
    
    
    
    (1,458,775
    )Interest Rates Non-U.S.
    
    
    4,592,457
    
    
    
    (317,714
    )
    
    
    4,702,420
    
    
    
    (884,257
    )Livestock
    
    
    (516,630
    )
    
    
    68,520
    
    
    
    (517,050
    )
    
    
    (1,230
    )Metals
    
    
    (1,079,819
    )
    
    
    269,310
    
    
    
    (4,600,702
    )
    
    
    284,815Softs
    
    
    (919,624
    )
    
    
    (309,933
    )
    
    
    1,019,300
    
    
    
    (806,383
    )Total
    
    $
    (3,135,393
    )
    
    $
    2,448,569
    
    
    $
    (9,646,307
    )
    
    $
    (2,015,929
    )
 4.
    Fair
    Value Measurements:  Partnerships and the Funds Investments.
  Partnerships and the Funds Fair Value Measurements.
   11




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
June 30, 2010
    (Unaudited)
    Quoted Prices inActive Markets


Significant Other


Significantfor Identical


Observable Inputs


Unobservable06/30/2010


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsOptions
    
    $
    537,190
    
    
    $
    537,190
    
    
    $
    
    
    
    $
    Futures
    
    
    4,080,369
    
    
    
    4,080,369
    
    
    
    
    
    
    
    Forwards
    
    
    970,252
    
    
    
    970,212
    
    
    
    40
    
    
    
    Investment in Funds
    
    
    855,722,358
    
    
    
    
    
    
    
    855,722,358
    
    
    
    Total assets
    
    $
    861,310,169
    
    
    $
    5,587,771
    
    
    $
    855,722,398
    
    
    $
    Total fair value
    
    $
    861,310,169
    
    
    $
    5,587,771
    
    
    $
    855,722,398
    
    
    $
    Quoted Prices inActive Markets


Significant Other


Significantfor Identical


Observable Inputs


Unobservable12/31/2009


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsForwards

$
950,175


$
950,175


$



$
Futures


3,055,807



3,055,807







Investment in Funds


714,110,396







714,110,396



Total assets

$
718,116,378


$
4,005,982


$
714,110,396


$
Total fair value

$
718,116,378


$
4,005,982


$
714,110,396


$
 12




---



##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
June 30, 2010
    (Unaudited)
   5.
    Investment
    in Funds:               13




---



##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
    June 30, 2010
    (Unaudited)
    give-up,
     June 30, 2010Total Assets
    
    
    Total Liabilities
    
    
    Total CapitalAAA Master
    
    $
    1,486,228,848
    
    
    $
    448,966,232
    
    
    $
    1,037,262,616Willowbridge Master
    
    
    227,833,325
    
    
    
    18,921
    
    
    
    227,814,404Winton Master
    
    
    768,235,393
    
    
    
    7,689,883
    
    
    
    760,545,510Total
    
    $
    2,482,297,566
    
    
    $
    456,675,036
    
    
    $
    2,025,622,530
  December 31, 2009Total Assets


Total Liabilities


Total CapitalAAA Master

$
1,632,583,054


$
403,387,862


$
1,229,195,192Willowbridge Master


231,147,799



42,482



231,105,317Winton Master


574,479,690



71,377



574,408,313Total

$
2,438,210,543


$
403,501,721


$
2,034,708,822  14




---



##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
    June 30, 2010
    (Unaudited)
   For the three months ended June 30, 2010Gain(loss) from
    
    
    Total IncomeTrading, net
    
    
    (loss)
    
    
    Net income (loss)AAA Master
    
    $
    (11,161,933
    )
    
    $
    (10,953,005
    )
    
    $
    (11,973,145
    )Willowbridge Master
    
    
    (13,357,029
    )
    
    
    (13,290,137
    )
    
    
    (13,408,093
    )Winton Master
    
    
    22,166,459
    
    
    
    22,374,065
    
    
    
    22,152,876Total
    
    $
    (2,352,503
    )
    
    $
    (1,869,077
    )
    
    $
    (3,228,362
    )For the three months ended June 30, 2009Gain(loss) from
    
    
    Total IncomeTrading, net
    
    
    (loss)
    
    
    Net income (loss)AAA Master
    
    $
    12,126,968
    
    
    $
    12,322,200
    
    
    $
    11,401,249Willowbridge Master
    
    
    32,063,426
    
    
    
    32,119,971
    
    
    
    32,025,897Winton Master
    
    
    (31,836,606
    )
    
    
    (31,722,305
    )
    
    
    (31,818,295
    )Total
    
    $
    12,353,788
    
    
    $
    12,719,866
    
    
    $
    11,608,851For the six months ended June 30, 2010Gain(loss) from
    
    
    Total IncomeTrading, net
    
    
    (loss)
    
    
    Net income (loss)AAA Master
    
    $
    (43,998,970
    )
    
    $
    (43,689,800
    )
    
    $
    (45,830,616
    )Willowbridge Master
    
    
    (33,883,661
    )
    
    
    (33,783,707
    )
    
    
    (34,002,324
    )Winton Master
    
    
    54,470,081
    
    
    
    54,768,462
    
    
    
    54,360,064Total
    
    $
    (23,412,550
    )
    
    $
    (22,705,045
    )
    
    $
    (25,472,876
    )For the six months ended June 30, 2009Gain(loss) from
    
    
    Total IncomeTrading, net
    
    
    (loss)
    
    
    Net income (loss)AAA Master
    
    $
    103,523,329
    
    
    $
    103,926,147
    
    
    $
    102,137,732Willowbridge Master
    
    
    (3,716,380
    )
    
    
    (3,595,592
    )
    
    
    (3,755,988
    )Winton Master
    
    
    (36,632,514
    )
    
    
    (36,383,251
    )
    
    
    (36,556,338
    )Total
    
    $
    63,174,435
    
    
    $
    63,947,304
    
    
    $
    61,825,406
 15




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
June 30, 2010
    (Unaudited)
   June 30, 2010
    
    
    For the three months ended June 30, 2010% ofPartnerships
    
    
    Fair
    
    
    Income
    
    
    Expenses
    
    
    Net
    

Investment


RedemptionInvestment
    
    Net Assets
    
    
    Value
    
    
    (Loss)
    
    
    Commissions
    
    
    Other
    
    
    Income (loss)
    
Objective


PermittedAAA Master
    
    
    26.32
    %
    
    $
    267,888,543
    
    
    $
    (2,853,406
    )
    
    $
    216,102
    
    
    $
    46,103
    
    
    $
    (3,115,611
    )


    Energy Markets

    MonthlyWillowbridge
Master
    
    
    14.55
    %
    
    
    148,056,757
    
    
    
    (8,550,462
    )
    
    
    62,093
    
    
    
    13,931
    
    
    
    (8,626,486
    )


    Commodity Portfolio

    MonthlyWinton Master
    
    
    43.21
    %
    
    
    439,777,058
    
    
    
    12,747,689
    
    
    
    105,904
    
    
    
    20,055
    
    
    
    12,621,730
    


    Commodity Portfolio

    
    MonthlyTotal
    
    
    
    
    
    $
    855,722,358
    
    
    $
    1,343,821
    
    
    $
    384,099
    
    
    $
    80,089
    
    
    $
    879,633June 30, 2010
    
    
    For the six months ended June 30, 2010% ofPartnerships
    
    
    Fair
    
    
    Income
    
    
    Expenses
    
    
    Net
    
    
Investment


RedemptionInvestment
    
    Net Assets
    
    
    Value
    
    
    (Loss)
    
    
    Commissions
    
    
    Other
    
    
    Income (loss)
    
    
    Objective
    
    PermittedAAA Master
    
    
    26.32
    %
    
    $
    267,888,543
    
    
    $
    (10,948,024
    )
    
    $
    450,245
    
    
    $
    89,522
    
    
    $
    (11,487,791
    )


    Energy Markets

    MonthlyWillowbridge
Master
    
    
    14.55
    %
    
    
    148,056,757
    
    
    
    (21,052,587
    )
    
    
    112,362
    
    
    
    26,087
    
    
    
    (21,191,036
    )


    Commodity Portfolio

    MonthlyWinton Master
    
    
    43.21
    %
    
    
    439,777,058
    
    
    
    30,588,750
    
    
    
    197,182
    
    
    
    29,362
    
    
    
    30,362,206
    


    Commodity Portfolio

    
    MonthlyTotal
    
    
    
    
    
    $
    855,722,358
    
    
    $
    (1,411,861
    )
    
    $
    759,789
    
    
    $
    144,971
    
    
    $
    (2,316,621
    )December 31, 2009


For the three months ended June 30, 2009% of








ExpensesPartnerships


Fair


Income








Net


Investment

RedemptionInvestment

Net Assets


Value


(Loss)


Commissions


Other


income (loss)


Objective

PermittedAAA Master
    
    
    34.91
    %
    
    $
    284,764,800
    
    
    $
    2,441,424
    
    
    $
    156,330
    
    
    $
    37,090
    
    
    $
    2,248,004
    
    
    Energy Markets
    
    MonthlyWillowbridge Master
    
    
    16.66
    %
    
    
    135,945,983
    
    
    
    17,254,325
    
    
    
    43,857
    
    
    
    6,592
    
    
    
    17,203,876
    
    
    Commodity Portfolio
    
    MonthlyWinton Master
    
    
    35.97
    %
    
    
    293,399,613
    
    
    
    (13,188,195
    )
    
    
    36,200
    
    
    
    3,945
    
    
    
    (13,228,340
    )
    
    Commodity Portfolio
    
    MonthlyTotal
    
    
    
    
    
    $
    714,110,396
    
    
    $
    6,507,554
    
    
    $
    236,387
    
    
    $
    47,627
    
    
    $
    6,223,540December 31, 2009
    
    

    For the six months ended

June 30, 2009% of
    
    
    
    
    
    
    
    
    
    
    ExpensesPartnerships
    
    
    Fair
    
    
    Income
    
    
    
    
    
    
    
    
    
    
    Net
    

Investment

RedemptionInvestment
    
    Net Assets
    
    
    Value
    
    
    (Loss)
    
    
    Commissions
    
    
    Other
    
    
    Income (loss)
    

Objective

PermittedAAA Master
    
    
    34.91
    %
    
    $
    284,764,800
    
    
    $
    20,454,616
    
    
    $
    292,049
    
    
    $
    71,980
    
    
    $
    20,090,587
    
    
    Energy Markets
    
    MonthlyWillowbridge
Master
    
    
    16.66
    %
    
    
    135,945,983
    
    
    
    (342,072
    )
    
    
    72,403
    
    
    
    10,751
    
    
    
    (425,226
    )
    
    Commodity Portfolio
    
    MonthlyWinton Master
    
    
    35.97
    %
    
    
    293,399,613
    
    
    
    (15,086,511
    )
    
    
    62,420
    
    
    
    7,488
    
    
    
    (15,156,419
    )
    
    Commodity Portfolio
    
    MonthlyTotal
    
    
    
    
    
    $
    714,110,396
    
    
    $
    5,026,033
    
    
    $
    426,872
    
    
    $
    90,219
    
    
    $
    4,508,942
 16




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
June 30, 2010
    (Unaudited)
  6. Financial Instrument Risks:
     17




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
June 30, 2010
    (Unaudited)
           18




---



##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
June 30, 2010
    (Unaudited)
  7. Critical
    Accounting Policies:
  Use of Estimates.
  Statement of Cash Flows.
  Partnerships and the Funds Investments.
  Partnerships and the Funds Fair Value Measurements.
  19




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
June 30, 2010
    (Unaudited)
  Futures Contracts.
  Forward Foreign Currency Contracts
    London Metals Exchange Forward
    Contracts.
  Options.
  Brokerage Commissions.
  Income Taxes.
 20




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
June 30, 2010
    (Unaudited)


Subsequent Events
  Recent Accounting Pronouncements
  No. 2010-09 2010-09),
  Net income (loss) per Redeemable Unit.
 21




---



##### Table of Contents



Item 2.
    Managements
    Discussion and Analysis of Financial Condition and Results of
    Operations.  Liquidity
    and Capital Resources
        Critical
Accounting Policies
  Partnerships and the Funds Investments.
  Partnerships and the Funds Fair Value Measurements.
    Futures Contracts.
 22




---



##### Table of Contents



Forward Foreign Currency Contracts
    London Metals Exchange Forward
    Contracts.
  Options.
  Brokerage Commissions.
  23




---



##### Table of Contents



Results
    of Operations
          24




---



##### Table of Contents



25




---



##### Table of Contents



Item 3.
    Quantitative
    and Qualitative Disclosures about Market Risk            one-day
     June 30, 2010
    (Unaudited)
  Value at
    
    
    % of TotalMarket Sector
    
    Risk
    
    
    CapitalizationCurrencies
    
    $
    10,997,161
    
    
    
    1.08
    %Energy
    
    
    22,914,073
    
    
    
    2.25
    %Grains
    
    
    2,707,178
    
    
    
    0.27
    %Interest Rates U.S.
    
    
    6,619,683
    
    
    
    0.65
    %Interest Rates Non-U.S.
    
    
    7,996,572
    
    
    
    0.79
    %Livestock
    
    
    133,605
    
    
    
    0.01
    %Lumber
    
    
    17,879
    
    
    
    0.00
    %*Metals
    
    
    6,409,325
    
    
    
    0.63
    %Softs
    
    
    2,047,038
    
    
    
    0.20
    %Indices
    
    
    1,398,260
    
    
    
    0.14
    %Total
    
    $
    61,240,774
    
    
    
    6.02
    %
    26




---



##### Table of Contents



June 30, 2010
    (Unaudited)
 Three months ended  June 30, 2010Value at
    
    
    % of Total
    
    
    High
    
    
    Low
    
    
    Average ValueMarket Sector
    
    Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    at Risk*Currencies
    
    $
    2,666,814
    
    
    
    0.26
    %
    
    $
    3,254,566
    
    
    $
    1,208,025
    
    
    $
    2,110,267Energy
    
    
    212,350
    
    
    
    0.02
    %
    
    
    6,356,500
    
    
    
    212,350
    
    
    
    2,922,414Grains
    
    
    684,270
    
    
    
    0.07
    %
    
    
    2,230,050
    
    
    
    357,254
    
    
    
    1,179,757Interest Rates U.S.
    
    
    1,145,250
    
    
    
    0.11
    %
    
    
    1,911,600
    
    
    
    264,437
    
    
    
    1,092,767Interest Rates Non-U.S.
    
    
    1,010,692
    
    
    
    0.10
    %
    
    
    2,737,047
    
    
    
    283,772
    
    
    
    1,578,482Metals
    
    
    1,119,637
    
    
    
    0.11
    %
    
    
    7,816,362
    
    
    
    657,531
    
    
    
    2,148,889Softs
    
    
    884,900
    
    
    
    0.09
    %
    
    
    1,842,900
    
    
    
    12,500
    
    
    
    1,103,200Indices
    
    
    13,500
    
    
    
    0.00
    %**
    
    
    247,500
    
    
    
    4,500
    
    
    
    15,750Total
    
    $
    7,737,413
    
    
    
    0.76
    %  *
    
    Average of  month-end Values at Risk.  **
    
    Due to rounding    June 30, 2010
    (Unaudited)
  Three months ended  June 30, 2010% of Total
         
         
         High
         
         
         Low
         
         
         AverageMarket Sector
         
         Value at Risk
         
         
         Capitalization
         
         
         Value at Risk
         
         
         Value at Risk
         
         
         Value at Risk*Energy
    
    $
    78,464,789
    
    
    
    7.56
    %
    
    $
    118,049,477
    
    
    $
    78,229,962
    
    
    $
    100,910,539Lumber
    
    
    69,300
    
    
    
    0.01
    %
    
    
    126,800
    
    
    
    68,500
    
    
    
    91,067Total
    
    $
    78,534,089
    
    
    
    7.57
    %   *
    
    Average of  month-end Values at Risk.   June 30, 2010

    (Unaudited)
  Three months ended June 30, 2010Value at
    
    
    % of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    

         Value at Risk*Currencies
    
    $
    2,495,062
    
    
    
    1.09
    %
    
    $
    6,497,609
    
    
    $
    1,103,305
    
    
    $
    2,967,970Energy
    
    
    2,244,000
    
    
    
    0.99
    %
    
    
    6,515,750
    
    
    
    552,500
    
    
    
    2,919,283Grains
    
    
    1,320,000
    
    
    
    0.58
    %
    
    
    1,980,000
    
    
    
    207,200
    
    
    
    978,504Interest Rates U.S.
    
    
    1,531,200
    
    
    
    0.67
    %
    
    
    2,336,400
    
    
    
    243,600
    
    
    
    1,485,967Interest Rates Non-U.S.
    
    
    2,639,586
    
    
    
    1.16
    %
    
    
    4,039,511
    
    
    
    1,527,075
    
    
    
    2,533,596Metals
    
    
    3,762,264
    
    
    
    1.65
    %
    
    
    5,643,396
    
    
    
    1,421,000
    
    
    
    3,088,844Softs
    
    
    871,200
    
    
    
    0.38
    %
    
    
    2,415,700
    
    
    
    198,000
    
    
    
    756,667Total
    
    $
    14,863,312
    
    
    
    6.52
    %
   *
    
    Average of month-end Values at Risk. 27




---



##### Table of Contents



June 30, 2010
    (Unaudited)
  Three months ended June 30, 2010% of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Currencies
    
    $
    11,606,499
    
    
    
    1.53
    %
    
    $
    13,595,019
    
    
    $
    7,870,170
    
    
    $
    12,385,655Energy
    
    
    1,728,733
    
    
    
    0.23
    %
    
    
    4,944,082
    
    
    
    1,138,249
    
    
    
    3,373,459Grains
    
    
    2,015,412
    
    
    
    0.26
    %
    
    
    2,377,300
    
    
    
    1,218,656
    
    
    
    1,793,890Interest Rates U.S.
    
    
    7,749,400
    
    
    
    1.02
    %
    
    
    8,348,750
    
    
    
    766,861
    
    
    
    6,493,933Interest Rates Non-U.S.
    
    
    9,117,905
    
    
    
    1.20
    %
    
    
    9,760,386
    
    
    
    5,764,470
    
    
    
    8,980,713Livestock
    
    
    231,150
    
    
    
    0.03
    %
    
    
    354,850
    
    
    
    204,300
    
    
    
    293,817Metals
    
    
    4,920,790
    
    
    
    0.65
    %
    
    
    8,963,451
    
    
    
    4,612,794
    
    
    
    6,778,301Softs
    
    
    1,030,897
    
    
    
    0.13
    %
    
    
    1,577,469
    
    
    
    647,356
    
    
    
    935,643Indices
    
    
    2,395,779
    
    
    
    0.31
    %
    
    
    21,927,977
    
    
    
    2,395,779
    
    
    
    8,835,502Total
    
    $
    40,796,565
    
    
    
    5.36
    %   *
    
    Average of month-end Values at Risk. 28




---



##### Table of Contents



Item 4.
    Controls
    and Procedures      Rules 13a-15(e) 15d-15(e)
  internal control over financial
    reporting
  
    pertain to the maintenance of records that in reasonable detail
    accurately and fairly reflect the transactions and dispositions
    of the assets of the Partnership;
    provide reasonable assurance that (i) transactions are
    recorded as necessary to permit preparation of financial
    statements in accordance with GAAP. and (ii) the Partnerships
    receipts are handled and expenditures are made only pursuant to
    authorizations of the General Partner; and
    provide reasonable assurance regarding prevention or timely
    detection of unauthorized acquisition, use or disposition of the
    Partnerships assets that could have a material effect on
    the financial statements.   29




---



##### Table of Contents



PART II.
    OTHER INFORMATION
  Item 1.
    Legal
    Proceedings.   30




---



##### Table of Contents



Item 1A.
    Risk
    Factors.  Regulatory changes could restrict
the Partnerships operations
 Regulatory changes could restrict the Partnerships operations.
   Item 2.
    Unregistered
    Sales of Equity Securities and Use of Proceeds.        (d) Maximum Number(c) Total Number of



(or ApproximateRedeemable



Dollar Value) of(b) Average



Units Purchased



Redeemable Units(a) Total Number of



Price Paid per



as Part of



that May Yet BeRedeemable



Redeemable



Publicly Announced



Purchased Under thePeriod


Units Purchased*



Unit**



Plans or Programs



Plans or ProgramsApril 1, 2010  
    April 30, 2010



4,050.7124



$
2,639.64




N/A




N/AMay 1, 2010  
    May 31, 2010



4,125.5464



$
2,626.27




N/A




N/AJune 1, 2010  
    June 30, 2010



4,156.3077



$
2,603.11




N/A




N/ATotal



12,332.5665



$
2,622.86       Item 3.
    Defaults
    Upon Senior Securities.  None.  Item 4.
    [Removed and
Reserved]  Item 5.
    Other
    Information.  None.  31




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Item 6.
    Exhibits 3.1
    
    Second Amended and Restated Limited Partnership Agreement (filed as Exhibit 3.1
to current report on Form 8-K/A filed on December 28, 2009).3.2
    
    Certificate of Limited Partnership of the Partnership as filed in the office of
the Secretary of State of the State of the State of New York (filed as Exhibit 3.(I) to
the general form for registration of securities on Form 10 filed on May 1, 2003).
 (a)
    
    1st Certificate of Amendment to the Certificate of Limited
Partnership as filed in the office of the Secretary of State of the State of New
York, dated April 3, 2001 (filed as Exhibit 3.(I) to the general form for
registration of securities on Form 10 filed on May 1, 2003).(b)
    
    2nd Certificate of Amendment to the Certificate of Limited
Partnership as filed in the office of the Secretary of State of the State of New
York, dated May 21, 2003 (filed as Exhibit 3.2(b) to the Form 10-Q filed on
November 16, 2009).(c)
    
    3rd Certificate of Amendment to the Certificate of Limited
Partnership as filed in the office of the Secretary of State of the State of New
York, dated September 21, 2005 (filed as Exhibit 3.2(c) to the Form 10-Q filed on
November 16, 2009).(d)
    
    4th Certificate of Amendment to the Certificate of Limited
Partnership as filed in the office of the Secretary of State of the State of New
York, dated August 27, 2008 (filed as Exhibit 99.1 to current report on Form 8-K
filed on September 2, 2008).(e)
    
    5th Certificate of Amendment to the Certificate of Limited
Partnership as filed in the office of the Secretary of State of the State of New
York, dated September 19, 2008 (filed as Exhibit 3.2(e) to the Form 10-Q filed on
November 16, 2009).(f)
    
    6th Certificate of Amendment to the Certificate of Limited
Partnership as filed in the office of the Secretary of State of the State of New
York, dated September 30, 2009 (filed as Exhibit 99.1(a) to current report on Form
8-K filed on September 30, 2009).(g)
    
    1st Certificate of Change to the Certificate of Limited
Partnership as filed in the office of the Secretary of State of the State of New
York, dated January 31, 2000 (filed as Exhibit 3.2(g) to the Form 10-Q filed on
November 16, 2009).(h)
    
    Certificate of Amendment of the Certificate of Limited
Partnership of the Partnership as filed in the office of the Secretary of State of the State of New
York, dated June 29, 2010 (filed as exhibit 3.1(h) to the Form 8-K filed on
July 2, 2010).
 10.1
    
    Management Agreement among the Partnership, Smith Barney Futures Management
Inc., SFG Global Investments, Inc. and AAA Capital Management Inc. (filed as Exhibit 10
to the general form for registration of securities on Form 10 filed on May 1, 2003).
 (a)
    
    First Amendment to the Management Agreement among the Partnership,
Smith Barney Futures Management Inc., SFG Global Investments, Inc. and AAA Capital
Management Inc. (filed as Exhibit 10 to the general form for registration of
securities on Form 10 filed on May 1, 2003).
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(b)
    
    Second Amendment to the Management Agreement among Citigroup Managed
Futures LLC and AAA Capital Management Inc. (filed as Exhibit 33 to the quarterly
report on Form 10-Q filed on August 14, 2006).(c)
    
    Letter extending the Management Agreements between the General Partner
and AAA Capital Management Inc. for 2009 (filed as Exhibit 10.1(c) to the annual
report on Form 10-K filed on March 31, 2010).
 10.2
    
    Management Agreement among the Partnership, Smith Barney Futures Management
Inc., SFG Global Investments, Inc. and Willowbridge Associates Inc. (filed as Exhibit
10 to the general form for registration of securities on Form 10 filed on May 1, 2003).
 (a)
    
    First Amendment to the Management Agreement among the Partnership,
Smith Barney Futures Management Inc., SFG Global Investments, Inc. and Willowbridge
Associates Inc. (filed as Exhibit 10 to the general form for registration of
securities on Form 10 filed on May 1, 2003).(b)
    
    Letter extending the Management Agreement between the General Partner
and Willowbridge Associates Inc. for 2009 (filed as Exhibit 10.2(b) to the annual
report on Form 10-K filed on March 31, 2010).
 10.3
    
    Management Agreement among the Partnership, Citigroup Managed Futures LLC and
Winton Capital Management Limited (filed as Exhibit 10 to the annual report on Form
10-K filed on March 15, 2004).
 (a)
    
    Letter extending the Management Agreement between the General Partner
and Winton Capital Management Limited for 2009 (filed as Exhibit 10.3(b) to the
annual report on Form 10-K filed on March 31, 2010).
 10.4
    
    Amended and Restated Customer Agreement between the Partnership and Salomon
Smith Barney Inc. (filed as Exhibit 10 to the general form for registration of
securities on Form 10 filed on May 1, 2003).10.5
    
    Second Amended and Restated Agency Agreement between the Partnership, Ceres
Managed Futures LLC, Morgan Stanley Smith Barney LLC and CGM Inc. (filed as Exhibit
10.5 to the Form 10-Q filed on November 16, 2009).10.6
    
    Form of Subscription Agreement (filed as Exhibit 10.5 to the Form 10-Q filed on
November 16, 2009).10.7
    
    Form of Third-Party Subscription Agreement (filed as Exhibit 10.5 to the Form
10-Q filed on November 16, 2009).10.8
    
    Joinder Agreement among Citigroup Managed Futures LLC, CGM Inc. and Morgan
Stanley Smith Barney LLC (filed as Exhibit 10 to the quarterly report on Form 10-Q
filed on August 14, 2009).
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SIGNATURES
     ORION FUTURES FUND L.P.
  By:
    Ceres Managed Futures LLC    By:
    /s/  Walter Davis     Date:
    August 16, 2010    By:
    /s/  Jennifer
    Magro      Date:
    August 16, 2010  34