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 March 31, 2009
  OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR
    15(d)
  OF THE SECURITIES EXCHANGE ACT OF 1934
  
  0-50271
  CITIGROUP 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 Citigroup
    Managed Futures LLC
    55 East
59th
Street  10th Floor
    New York, New York 10022
    (212) 559-2011
       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




---



##### 



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


Financial Statements:Statements of Financial Condition at
    March 31, 2009 and December 31, 2008 (unaudited)

3Schedules of Investments at
    March 31, 2009 and December 31, 2008 (unaudited)

4  5Statements of Income and Expenses
    and Partners Capital for the three months
    ended March 31, 2009 and 2008 (unaudited)

6Notes to Financial Statements (unaudited)

7  12Item 2.


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

13  16Item 3.


Quantitative and Qualitative
    Disclosures about Market Risk

17  18Item 4T.


Controls and Procedures

19PART II - Other Information

20  25  2




---



##### 



PART I Item 1. Financial Statements Citigroup Orion Futures Fund L.P.
    Statements of Financial Condition
    (Unaudited)
  March 31,


December 31,2009


2008Assets:Investment in Partnerships, at fair value

$
592,269,806


$
610,171,060Equity in trading account:Cash


60,750,815



70,898,968Cash margin


6,895,086



2,972,978Net unrealized appreciation on open futures contracts


1,270,635



1,526,317Net unrealized appreciation on open forward contracts


499,325



144,156661,685,667



685,713,479Interest receivable


7,977



1,397Total assets

$
661,693,644


$
685,714,876Liabilities and Partners Capital:Liabilities:Accrued expenses:Brokerage commissions


$1,526,888



$1,380,827Management fees


1,012,669



1,053,913Administrative fees


275,042



285,090Incentive fees


3,102,122



10,922,554Other


64,835



117,207Redemptions payable


11,960,351



23,068,432Total liabilities


17,941,907



36,828,023Partners Capital:General Partner, 1,281.5595 Unit equivalents
    outstanding at March 31, 2009 and December 31, 2008, respectively


3,557,430



3,635,695Limited Partners, 230,629.3112 and 227,446.9882 Redeemable Units
    of Limited Partnership Interest outstanding at March 31, 2009 and December 31, 2008,
    respectively


640,194,307



645,251,158Total partners capital


643,751,737



648,886,853Total liabilities and partners capital

$
661,693,644


$
685,714,876    3




---



##### 



Citigroup Orion Futures Fund L.P.
    Schedule of Investments
March 31, 2009
    (Unaudited)
  Notional ($)/Number of
    
    
    
    
    
    
    % of PartnersContracts
    
    
    Fair Value
    
    
    CapitalFutures Contracts PurchasedCurrencies
    
    
    404
    
    
    $
    626,844
    
    
    
    0.10
    %Energy
    
    
    240
    
    
    
    132,116
    
    
    
    0.02Grains
    
    
    160
    
    
    
    171,371
    
    
    
    0.03Interest Rates U.S.
    
    
    360
    
    
    
    51,660
    
    
    
    0.01Interest Rates Non-U.S.
    
    
    480
    
    
    
    81,043
    
    
    
    0.01Metals
    
    
    80
    
    
    
    345,650
    
    
    
    0.05Total futures contracts purchased
    
    
    
    
    
    
    1,408,684
    
    
    
    0.22Futures Contracts SoldCurrencies
    
    
    80
    
    
    
    (1,800
    )
    
    
    (0.00
    )*Energy
    
    
    40
    
    
    
    (29,470
    )
    
    
    (0.00
    )*Grains
    
    
    80
    
    
    
    (105,163
    )
    
    
    (0.02
    )Interest Rates Non-U.S.
    
    
    11
    
    
    
    36,756
    
    
    
    0.01Softs
    
    
    120
    
    
    
    (38,372
    )
    
    
    (0.01
    )Total futures contracts sold
    
    
    
    
    
    
    (138,049
    )
    
    
    (0.02
    )Net unrealized appreciation on futures contracts
    
    
    
    
    
    
    1,270,635
    **
    
    
    0.20Unrealized Appreciation on Open Forward ContractsCurrencies
    
    
    24,994,790
    
    
    
    53,060
    
    
    
    0.01Metals
    
    
    327
    
    
    
    4,858,597
    
    
    
    0.75Total unrealized appreciation on open forward contracts
    
    
    
    
    
    
    4,911,657
    
    
    
    0.76Unrealized Depreciation on Open Forward ContractsCurrencies
    
    
    24,994,790
    
    
    
    (53,060
    )
    
    
    (0.01
    )Metals
    
    
    296
    
    
    
    (4,359,272
    )
    
    
    (0.68
    )Total unrealized depreciation on open forward contracts
    
    
    
    
    
    
    (4,412,332
    )
    
    
    (0.69
    )Net unrealized appreciation on open forward contracts
    
    
    
    
    
    
    499,325
    ***
    
    
    0.07Investment in PartnershipsCitigroup AAA Master Fund LLC
    
    
    
    
    
    
    266,290,900
    
    
    
    41.37CMF Willowbridge Argo Master Fund LP
    
    
    
    
    
    
    115,842,736
    
    
    
    18.00CMF Winton Master  LP
    
    
    
    
    
    
    210,136,170
    
    
    
    32.64Total investment in Partnerships
    
    
    
    
    
    
    592,269,806
    
    
    
    92.01Total fair value
    
    
    
    
    
    $
    594,039,766
    
    
    
    92.28
    %
 *
    
    Due to rounding**
    
    This amount is included in  Net unrealized appreciation on
open futures contracts on the Statements of Financial Condition***
    
    This amount is included in  Net unrealized appreciation on
open forward contracts on the Statements of Financial Condition   4




---



##### 



Citigroup Orion Futures Fund L.P.
    Schedule of Investments
    December 31, 2008
    (Unaudited)
  Number of
    
    



% of PartnersContracts
    
    
Fair Value


CapitalFutures Contracts PurchasedCurrencies

    
    114
    
    
$
127,205



0.02
%Energy

    
    19
    
    

(55,290
)


(0.01
)Grains

    
    190
    
    

260,336



0.04Metals

    
    19
    
    

44,650



0.01Interest Rates U.S.

    
    190
    
    

607,238



0.09Interest Rates Non-U.S.

    
    161
    
    

567,778



0.09Softs


    38
    
    

90,950



0.01Total futures contracts purchased

    
    
    

1,642,867



0.25Futures Contracts SoldMetals

    
    38
    
    

(116,550
)


(0.02
)Total futures contracts sold

    
    
    
    

(116,550
)


(0.02
)Net unrealized appreciation on open futures contracts

    
    
    

1,526,317
*


0.23Unrealized Appreciation on Open Forward ContractsMetals

    
    214
    
    

3,283,299



0.50Total unrealized appreciation on open forward contracts

    
    
    
    

3,283,299



0.50Unrealized Depreciation on Open Forward ContractsMetals

    
    184
    
    

(3,139,143
)


(0.48
)Total unrealized depreciation on open forward contracts

    
    
    

(3,139,143
)


(0.48
)Net unrealized appreciation on open forward contracts

    
    
    
    

144,156
**


0.02Investment in PartnershipsCitigroup AAA Master Fund LLC

    
    
    
    

265,560,308



40.93CMF Willowbridge Argo Master Fund LP

    
    
    

137,021,864



21.12CMF Winton Master LP

    
    
    
    

207,588,888



31.99Total investment in Partnerships

    
    
    
    

610,171,060



94.04Total fair value

    
    
    
    
$
611,841,533



94.29
%  *
    
    This amount is included in  Net unrealized appreciation on
open futures contracts on the Statements of Financial Condition**
    
    This amount is included in  Net unrealized appreciation on
open forward contracts on the Statements of Financial Condition
 5




---



##### 



Citigroup Orion Futures Fund L.P.
    Statements of Income and Expenses and Partners Capital
    (Unaudited)
  Three Months EndedMarch 31,2009


2008Income:Net gains (losses) on trading of commodity interests and
    investment in Partnerships:Net realized gains (losses) on closed contracts

$
(4,563,984
)

$
4,125,025Net realized gains (losses) on investments in Partnerships


(4,367,635
)


30,769,872Change in net unrealized gains (losses) on open contracts


99,487



(170,778
)Change in net unrealized gains (losses) on investments in
Partnerships


2,744,820



7,693,754Gain (loss) from trading, net


(6,087,312
)


42,417,873Interest income


19,698



223,430Interest income from investment in Partnerships


141,292



2,085,018Total income (loss)


(5,926,322
)


44,726,321Expenses:Brokerage commissions, including clearing fees


1,400,151



1,684,520Management fees


3,073,361



2,362,834Administrative fees


834,223



653,319Incentive fees


3,102,122



7,522,241Other


123,930



106,001Total expenses


8,533,787



12,328,915Net income (loss)


(14,460,109
)


32,397,406Additions  Limited Partners


55,953,000



44,385,000Redemptions  Limited Partners


(46,628,007
)


(18,959,091
)Net increase (decrease) in Partners Capital


(5,135,116
)


57,823,315Partners Capital, beginning of period


648,886,853



460,405,756Partners Capital, end of period

$
643,751,737


$
518,229,071Net Asset Value per Unit (231,910.8707 and 227,772.4449 Units
    outstanding at March 31, 2009 and 2008, respectively)

$
2,775.86


$
2,275.21Net income (loss) per Redeemable Unit of Limited Partnership
    Interest and General Partner Unit equivalent

$
(61.07
)

$
142.62    6




---



##### 



Citigroup Orion Futures Fund L.P.Notes to Financial StatementsMarch 31, 2009
    (Unaudited)
  1.
    General:      Global Wealth Management
      Form 10-K
         7




---



##### 



Citigroup Orion
    Futures Fund L.P.
    Notes to Financial Statements
March 31, 2009
    (Unaudited)
  2.
    Financial
    Highlights:    6Three Months EndedMarch 31,2009


2008Net realized and unrealized gains (losses)*

$
(31.46
)

$
179.28Interest income


0.68



10.13Expenses**


(30.29
)


(46.79
)Increase (decrease) for the period


(61.07
)


142.62Net Asset Value per Redeemable Unit of Limited Partnership Interest, beginning of period


2,836.93



2,132.59Net Asset Value per Redeemable Unit of Limited Partnership Interest, end of period

$
2,775.86


$
2,275.21   *
    
    Includes brokerage commissions.**
    
    Excludes brokerage commissions.  Three Months EndedMarch 312009


2008Ratios to Average Net Assets:***Net investment income (loss) before incentive fees****


(3.3
)%


(2.0
)%Operating expense


3.4
%


3.9
%Incentive fees


0.5



1.5Total expenses


3.9
%


5.4
%Total return:Total return before incentive fees


(1.7
)%


8.2
%Incentive fees


(0.5
)


(1.5
)Total return after incentive fees


(2.2
)
    %


6.7
%   ***
    
    Annualized (other than incentive fees).  ****
    
    Interest income less total expenses.    3.
    Trading
    Activities:   8




---



##### 



Citigroup Orion Futures Fund L.P.
    Notes to Financial Statements
March 31, 2009
    (Unaudited)
          March 31, 2009Sector
    

Gain (loss) from tradingCurrencies
    
    $
    (422,816
    )Energy
    
    
    (958,840
    )Grains
    
    
    (574,751
    )Interest rates U.S.
    
    
    (1,390,852
    )Interest rates Non-U.S.
    
    
    (566,543
    )Metals
    
    
    15,505Softs
    
    
    (496,450
    )Livestock
    
    
    (69,750
    )$
    (4,464,497
    )
 4.
    Fair
    Value Measurements:  Investments.
  Fair Value Measurements. Fair Value Measurements No. FAS 157-2, Effective Date of FASB Statement No. 157
  9




---



##### 



Citigroup Orion Futures Fund L.P.
    Notes to Financial Statements
March 31, 2009
    (Unaudited)
    Quoted Prices inActive Markets


Significant Other


Significantfor Identical


Observable Inputs


Unobservable3/31/2009


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsForwards

$
499,325


$
499,325


$



$
Futures


1,270,635



1,270,635







Investment in Partnerships


592,269,806







592,269,806



Total Assets

$
594,039,766


$
1,769,960


$
592,269,806


$
   5.
    Investment
    in Partnerships:           10




---



##### 



Citigroup Orion Futures Fund L.P.
    Notes to Financial Statements
    March 31, 2009
    (Unaudited)
    give-up,
      March 31, 2009Total Assets
    
    
    Total Liabilities
    
    
    Total CapitalAAA Master
    
    $
    1,736,172,386
    
    
    $
    385,313,890
    
    
    $
    1,350,858,496Willowbridge Master
    
    
    227,599,897
    
    
    
    16,163
    
    
    
    227,583,734Winton Master
    
    
    534,331,372
    
    
    
    1,049,135
    
    
    
    533,282,237Total
    
    $
    2,498,103,655
    
    
    $
    386,379,188
    
    
    $
    2,111,724,467
  December 31, 2008Total Assets


Total Liabilities


Total CapitalAAA Master

$
1,962,984,697


$
624,353,598


$
1,338,631,099Willowbridge Master


297,439,763



19,759



297,420,004Winton Master


547,770,185



18,642



547,751,543Total

$
2,808,194,645


$
624,391,999


$
2,183,802,646     March 31, 2009


For the three months ended March 31, 2009% of








ExpensesPartnerships


Fair


Income








Net


Investment

RedemptionInvestment

Net Assets


Value


(Loss)


Commissions


Other


income (loss)


Objective

PermittedAAA Master


41.37
%

$
266,290,900


$
18,013,190


$
135,719


$
34,890


$
17,842,581


Energy
    Markets

MonthlyWillowbridge  Master


18.00
%


115,842,736



(17,596,397
)


28,546



4,159



(17,629,102
)

Commodity
    Portfolio

MonthlyWinton Master


32.64
%


210,136,170



(1,898,316
)


26,220



3,543



(1,928,079
)

Commodity
    Portfolio

MonthlyTotal





$
592,269,806


$
(1,481,523
)

$
190,485


$
42,592


$
(1,714,600
)   11




---



##### 



Citigroup
    Orion Futures Fund L.P.
    Notes to Financial Statements
    March 31, 2009
    (Unaudited)
  December 31, 2008


For the three months ended March 31, 2008% of








ExpensesPartnerships


Fair


Income








Net


Investment

RedemptionInvestment

Net Assets


Value


(Loss)


Commissions


Other


Income (loss)


Objective

PermittedAAA Master


40.93
%

$
265,560,308


$
7,203,097


$
126,597


$
23,478


$
7,053,022


Energy
    Markets

MonthlyWillowbridge  Master


21.12
%


137,021,864



8,519,102



50,652



3,725



8,464,725


Commodity
    Portfolio

MonthlyWinton Master


31.99
%


207,588,888



24,826,445



71,841



3,044



24,751,558


Commodity
    Portfolio

MonthlyTotal





$
610,171,060


$
40,548,644


$
249,090


$
30,247


$
40,269,305   6.
    Financial
    Instrument Risks:             12




---



##### 



Item 2.
    Managements
    Discussion and Analysis of Financial Condition and Results of
    Operations.  Liquidity
    and Capital Resources
        Critical
    Accounting Policies
  Use of Estimates.
  Statement of Cash Flows.
  Investments.
  Fair Value Measurements. Fair Value Measurements No. FAS 157-2, Effective Date of FASB Statement No. 157
  13




---



##### 



Futures Contracts.
  Forward Foreign Currency Contracts
  London Metals Exchange Forward
    Contracts.
  Options.
  Brokerage Commissions.
  Income Taxes.
     14




---



##### 



Recent Accounting Pronouncements
  Results
    of Operations
          30-day 3-month and/or
 15




---



##### 



90-day
         16




---



##### 



Item 3.
    Quantitative
    and Qualitative Disclosures about Market Risk          one-day
  Form 10-K
  March 31, 2009
    (Unaudited)
  Three Months Ended March 31, 2009Value at


% of Total


High


Low


Average ValueMarket Sector

Risk


Capitalization


Value at Risk


Value at Risk


at Risk*Currencies
    
    $
    1,710,725
    
    
    
    0.27
    %
    
    $
    1,848,354
    
    
    $
    352,800
    
    
    $
    1,352,524Energy
    
    
    1,450,000
    
    
    
    0.22
    %
    
    
    1,738,375
    
    
    
    51,675
    
    
    
    866,400Grains
    
    
    216,000
    
    
    
    0.03
    %
    
    
    924,000
    
    
    
    209,000
    
    
    
    392,000Interest Rates U.S.
    
    
    372,000
    
    
    
    0.06
    %
    
    
    676,200
    
    
    
    92,400
    
    
    
    398,967Interest Rates Non-U.S.
    
    
    884,438
    
    
    
    0.14
    %
    
    
    987,344
    
    
    
    273,997
    
    
    
    601,032Metals
    
    
    622,889
    
    
    
    0.10
    %
    
    
    1,515,629
    
    
    
    164,601
    
    
    
    744,493Softs
    
    
    124,000
    
    
    
    0.02
    %
    
    
    440,200
    
    
    
    54,600
    
    
    
    241,167Total
    
    $
    5,380,052
    
    
    
    0.84
    %   *
    
    Average month-end Values at Risk**
    
    Due to rounding 17




---



##### 



March 31, 2009
    (Unaudited)
  Three months ended March 31, 2009% of Total


High


Low


AverageMarket Sector

Value at Risk


Capitalization


Value at Risk


Value at Risk


Value at Risk*Energy
    
    $
    240,698,609
    
    
    
    17.82
    %
    
    $
    352,329,038
    
    
    $
    216,503,805
    
    
    $
    235,594,814Total
    
    $
    240,698,609
    
    
    
    17.82
    %   *
    
    Average month-end Values at Risk   March 31, 2009

    (Unaudited)
  Three months ended March 31, 2009Value at


% of Total


High


Low


AverageMarket Sector

Risk


Capitalization


Value at Risk


Value at Risk


Value at Risk*Currencies
    
    $
    5,193,631
    
    
    
    2.29
    %
    
    $
    7,338,483
    
    
    $
    1,008,000
    
    
    $
    4,278,945Energy
    
    
    2,445,700
    
    
    
    1.07
    %
    
    
    8,077,000
    
    
    
    391,000
    
    
    
    2,243,721Grains
    
    
    529,500
    
    
    
    0.23
    %
    
    
    2,292,000
    
    
    
    529,500
    
    
    
    869,000Interest Rates U.S.
    
    
    3,834,300
    
    
    
    1.68
    %
    
    
    3,834,300
    
    
    
    280,500
    
    
    
    2,979,900Interest Rates Non-U.S.
    
    
    4,546,693
    
    
    
    2.00
    %
    
    
    5,175,310
    
    
    
    2,315,238
    
    
    
    4,060,808Livestock
    
    
    183,000
    
    
    
    0.08
    %
    
    
    244,800
    
    
    
    163,200
    
    
    
    213,900Metals
    
    
    4,046,263
    
    
    
    1.78
    %
    
    
    6,016,118
    
    
    
    2,123,864
    
    
    
    3,419,906Softs
    
    
    237,900
    
    
    
    0.10
    %
    
    
    2,227,200
    
    
    
    237,900
    
    
    
    1,068,767Total
    
    $
    21,016,987
    
    
    
    9.23
    %   *
    
    Average of month-end Values at Risk    March 31, 2009

    (Unaudited)
  Three months ended March 31, 2009% of Total


High


Low


AverageMarket Sector

Value at Risk


Capitalization


Value at Risk


Value at Risk


Value at Risk*Currencies
    
    $
    4,970,225
    
    
    
    0.93
    %
    
    $
    7,148,200
    
    
    $
    4,970,225
    
    
    $
    5,879,958Energy
    
    
    341,797
    
    
    
    0.07
    %
    
    
    1,501,030
    
    
    
    228,335
    
    
    
    643,272Grains
    
    
    1,202,647
    
    
    
    0.23
    %
    
    
    1,976,399
    
    
    
    1,095,346
    
    
    
    1,501,180Interest Rates U.S.
    
    
    3,052,875
    
    
    
    0.57
    %
    
    
    3,458,850
    
    
    
    716,705
    
    
    
    1,796,014Interest Rates Non-U.S.
    
    
    6,473,253
    
    
    
    1.22
    %
    
    
    7,323,281
    
    
    
    4,348,472
    
    
    
    5,734,252Livestock
    
    
    328,800
    
    
    
    0.06
    %
    
    
    328,800
    
    
    
    72,450
    
    
    
    184,183Lumber
    
    
    3,300
    
    
    
    0.00
    %**
    
    
    3,300
    
    
    
    1,100
    
    
    
    2,200Metals
    
    
    2,206,704
    
    
    
    0.41
    %
    
    
    2,206,704
    
    
    
    1,316,143
    
    
    
    1,821,245Softs
    
    
    746,515
    
    
    
    0.14
    %
    
    
    857,162
    
    
    
    724,732
    
    
    
    791,384Indices
    
    
    2,089,185
    
    
    
    0.39
    %
    
    
    3,026,185
    
    
    
    1,261,608
    
    
    
    2,000,924Total
    
    $
    21,415,301
    
    
    
    4.02
    %   *
    
    Average of month-end Values at Risk**
    
    Due to rounding 18




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##### 



Item 4T.
    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.   19




---



##### 



PART II.
    OTHER INFORMATION
  Item 1.
    Legal
    Proceedings.  Form 10-K
 Enron-Related Civil Actions
 DK Acquisition Partners, L.P., et al. v. J.P. Morgan Chase &
Co., et al., Avenue Capital Management II, L.P., et al. v. J.P. Morgan Chase & Co., et al.
 Research Analyst Litigation
 In Re Salomon Analyst Metromedia Litigation
 Subprime-Mortgage-Related Litigation and Other Matters
 In Re Citigroup Inc.
Bond Litigation
 Buckingham v.
Citigroup Inc , et al. Chen v. Citigroup Inc et al. In Re Citigroup Inc Bond Litigation Pellegrini v. Citigroup Inc et al. Pellegrini In Re Citigroup Inc Bond Litigation
 Brecher v. Citigroup Inc et al. Brecher In Re Citigroup Inc. Bond
Litigation
  Auction Rate Securities
 In Re Citigroup Inc Auction Rate Securities Litigation In Re Citigroup Inc. Auction Rate Securities
Litigation.
 Mayor & City Council Of
Baltimore, Maryland v. Citigroup Inc et al. Mayfield v. Citigroup Inc et al.
  20




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##### 



Other Matters
 In re MAT Five Securities Litigation Marie Raymond
Revocable rust et al. v. MAT Five LLC, et al.
 Puglisi v. Citigroup Alternative
Investments LLC, et al. In Re MAT Five Securities
Litigation Goodwill v. MAT Five LLC,
et al. Marie Raymond Revocable Trust, et al. v. MAT Five LLC, et al ECA
Acquisitions, Inc. et al. v. MAT Three LLC, et al., Hahn, et al. v. Citigroup Inc., et
al, Marie Raymond Revocable Trust
  21




---



##### 



Item 1A.
    Risk
    Factors  Form 10-K
  22




---



##### 



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 ProgramsJanuary 1, 2009  
    January 31, 2009



3,300.2485



$
2,845.87




N/A




N/AFebruary 1, 2009  
    February 28, 2009



8,947.9943



$
2,824.72




N/A




N/AMarch 1, 2009  
    March 31 2009



4,308.7011



$
2,775.86




N/A




N/A16,556.9439



$
2,816.22       Item 3.
    Defaults
    Upon Senior Securities.  None.  Item 4.
    Submission
    of Matters to a Vote of Security
    Holders.  None.  Item 5.
    Other
    Information.  None.  23




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##### 



Item 6.
    Exhibits  Regulation S-K Form 10-K
  Rule 13a-14(a)/15d-14(a)
  Rule 13a-14(a)/15d-14(a)
     24




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##### 



SIGNATURES
     CITIGROUP ORION FUTURES FUND L.P.
  By:
    Citigroup Managed Futures LLC    By:
    /s/  Jerry
    Pascucci     Date:
    May 15, 2009    By:
    /s/  Jennifer
    Magro     Date:
    May 15, 2009  25