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, 2011
  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
March 31, 2011 (unaudited) and December 31, 2010

3Condensed Schedules of Investments at
March 31, 2011 (unaudited) and December 31, 2010

4  5Statements of Income and Expenses
    and Changes in Partners Capital for the three months
    ended March 31, 2011 and 2010 (unaudited)

6Notes to Financial Statements (unaudited)

7  19Item 2.


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

20  22Item 3.


Quantitative and Qualitative
    Disclosures about Market Risk

23  27Item 4.


Controls and Procedures

28PART II - Other Information

29  34Exhibits31.1       Certification31.2       Certification32.1       Certification32.2       Certification  2




---



##### 



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


December 31,2011


2010Assets:Investment in Funds, at fair value
    
    $
    1,060,363,037
    
    
    $
    981,904,411Equity in trading account:Cash
    
    
    159,706,073
    
    
    
    172,054,703Cash margin
    
    
    35,069,429
    
    
    
    22,755,878Net unrealized appreciation on open futures contracts
    
    
    7,026,007
    
    
    
    Net unrealized appreciation on open forward contracts
    
    
    
    
    
    
    13,090,568Options
purchased, at fair value (cost $3,144,227 and $2,992,890 at 
March 31, 2011  and
December 31, 2010, respectively)
    
    
    2,550,776
    
    
    
    5,335,1731,264,715,322
    
    
    
    1,195,140,733Interest receivable
    
    
    10,072
    
    
    
    15,672Total assets
    
    $
    1,264,725,394
    
    
    $
    1,195,156,405Liabilities and Partners Capital:Liabilities:Options premium received, at fair value (premium $0 and $45,720 at

March 31, 2011 and December 31, 2010, respectively)
    
    $
    
    
    
    $
    14,130Net unrealized depreciation on open futures contracts
    
    
    
    
    
    
    5,247,768Net unrealized depreciation on open forward contracts
    
    
    18,260,678
    
    
    
    Accrued expenses:Brokerage commissions
    
    
    2,361,138
    
    
    
    2,109,769Management fees
    
    
    1,823,047
    
    
    
    1,751,605Administrative fees
    
    
    518,312
    
    
    
    494,865Incentive fees
    
    
    2,135,984
    
    
    
    4,494,823Other
    
    
    154,908
    
    
    
    109,373Redemptions payable
    
    
    13,059,359
    
    
    
    11,368,337Total liabilities
    
    
    38,313,426
    
    
    
    25,590,670Partners Capital:General Partner, 4,276.0755 unit equivalents outstanding at

March 31, 2011 and December 31, 2010
    
    
    11,920,972
    
    
    
    11,777,980Limited Partners, 435,639.9025 and 420,343.0232 Redeemable Units
outstanding at March 31, 2011 and December 31, 2010, respectively
    
    
    1,214,490,996
    
    
    
    1,157,787,755Total partners capital
    
    
    1,226,411,968
    
    
    
    1,169,565,735Total liabilities and partners capital
    
    $
    1,264,725,394
    
    
    $
    1,195,156,405Net asset value per unit
    
    $
    2,787.83
    
    
    $
    2,754.39    3




---



##### 



Orion Futures Fund L.P.Condensed Schedule of Investments
March 31, 2011
(Unaudited)
 % of PartnersFair Value
    
    
    CapitalFutures Contracts PurchasedCurrencies
    
    
    766
    
    
    
    1,357,361
    
    
    
    0.11
    %Energy
    
    
    410
    
    
    
    1,717,317
    
    
    
    0.14Grains
    
    
    620
    
    
    
    (299,446
    )
    
    
    (0.02
    )Indices
    
    
    8
    
    
    
    (1,300
    )
    
    
    (0.00)
    *Interest Rates U.S.
    
    
    16
    
    
    
    (5,750
    )
    
    
    (0.00)
    *Interest Rates Non-U.S.
    
    
    47
    
    
    
    189,333
    
    
    
    0.01Livestock
    
    
    72
    
    
    
    97,940
    
    
    
    0.01Metals
    
    
    309
    
    
    
    3,831,442
    
    
    
    0.31Softs
    
    
    124
    
    
    
    (150,776
    )
    
    
    (0.01
    )Total futures contracts purchased
    
    
    
    
    
    
    6,736,121
    
    
    
    0.55Futures Contracts SoldCurrencies
    
    
    396
    
    
    
    (15,587
    )
    
    
    (0.00)
    *Grains
    
    
    93
    
    
    
    117,562
    
    
    
    0.01Interest Rates Non-U.S.
    
    
    558
    
    
    
    50,151
    
    
    
    0.00
    *Metals
    
    
    362
    
    
    
    (41,212
    )
    
    
    (0.00)
    *Softs
    
    
    140
    
    
    
    178,972
    
    
    
    0.01Total futures contracts sold
    
    
    
    
    
    
    289,886
    
    
    
    0.02Unrealized Appreciation on Open Forward ContractsMetals
    
    
    4,299
    
    
    
    28,178,645
    
    
    
    2.30Total unrealized appreciation on open forward contracts
    
    
    
    
    
    
    28,178,645
    
    
    
    2.30Unrealized Depreciation on Open Forward ContractsMetals
    
    
    5,057
    
    
    
    (46,439,323
    )
    
    
    (3.79
    )Total unrealized depreciation on open forward contracts
    
    
    
    
    
    
    (46,439,323
    )
    
    
    (3.79
    )Options
PurchasedCallsMetals
    
    
    335
    
    
    
    2,550,776
    
    
    
    0.21Total options purchased
    
    
    
    
    
    
    2,550,776
    
    
    
    0.21Investment in FundsAAA Master Fund LLC
    
    
    
    
    
    
    339,591,575
    
    
    
    27.69CMF Willowbridge Argo Master Fund LP
    
    
    
    
    
    
    119,838,286
    
    
    
    9.77CMF Winton Master Fund LP
    
    
    
    
    
    
    600,933,176
    
    
    
    49.00Total investment in Funds
    
    
    
    
    
    
    1,060,363,037
    
    
    
    86.46Net fair value
    
    
    
    
    
    $
    1,051,679,142
    
    
    
    85.75
    %
 
   4




---



##### 



Orion Futures
    Fund L.P.
    Condensed Schedule of Investments
    December 31, 2010
  Notional ($)/





% of PartnersNumber of Contracts


Fair Value


CapitalFutures Contracts PurchasedCurrencies


520


$
953,808



0.08
%Energy


407



1,063,222



0.09Grains


1,143



2,154,944



0.18Interest Rates U.S.


380



35,017



0.00
*Interest Rates
    Non-U.S.


238



8,350



0.00
*Livestock


111



95,380



0.01Metals


390



3,589,090



0.31Softs


518



2,648,939



0.23Total futures contracts purchased






10,548,750



0.90Futures Contracts SoldCurrencies


95



26,292



0.00
*Grains


240



(123,200
)


(0.01
)Interest Rates U.S.


12



(6,375
)


(0.00
)*Interest Rates
    Non-U.S.


95



102,828



0.01Metals


1,428



(15,796,063
)


(1.35
)Total futures contracts sold






(15,796,518
)


(1.35
)Unrealized Appreciation on Open Forward ContractsMetals


3,976



67,511,368



5.77Total unrealized appreciation on open forward contracts






67,511,368



5.77Unrealized Depreciation on Open Forward ContractsCurrencies

$
75,375



(313
)


0.00
*Metals


3,256



(54,420,487
)


(4.65
)Total unrealized depreciation on open forward contracts






(54,420,800
)


(4.65
)Options PurchasedCallsGrains


200



55,000



0.00
*Metals


225



5,280,173



0.45Total options purchased






5,335,173



0.45Options Premium ReceivedCallsMetals


60



(14,130
)


(0.00
)*Total options premium received






(14,130
)


(0.00
)*Investment in FundsAAA Master Fund LLC






283,238,250



24.22CMF Willowbridge Argo Master Fund LP






151,432,714



12.95CMF Winton Master Fund LP






547,233,447



46.79Total investment in Funds






981,904,411



83.96Net fair value





$
995,068,254



85.08
%     *
    
    Due to rounding  5




---



##### 



Orion Futures Fund L.P.
Statements of Income and Expenses and Changes in Partners Capital
(Unaudited)
 Three Months EndedMarch 31,2011
    
    
    2010Investment Income:Interest income
    
    $
    47,003
    
    
    $
    19,766Interest
income from investment in Funds
    
    
    235,141
    
    
    
    105,278Total investment income
    
    
    282,144
    
    
    
    125,044Expenses:Brokerage commissions including clearing fees
    
    
    3,338,174
    
    
    
    2,911,184Management fees
    
    
    5,376,649
    
    
    
    3,995,438Administrative fees
    
    
    1,524,583
    
    
    
    1,105,189Incentive fees
    
    
    2,135,984
    
    
    
    Other
    
    
    198,286
    
    
    
    216,107Total expenses
    
    
    12,573,676
    
    
    
    8,227,918Net investment income (loss)
    
    
    (12,291,532
    )
    
    
    (8,102,874
    )Trading Results:Net gains (losses) on trading of commodity interests
and investment in Funds:Net realized
gains (losses) on closed contracts
    
    
    22,354,572
    
    
    
    (5,450,799
    )Net realized gains (losses) on investment in Funds
    
    
    48,153,657
    
    
    
    (24,124,263
    )Change in
net unrealized gains (losses) on open contracts
    
    
    (22,044,795
    )
    
    
    (1,060,115
    )Change in net unrealized gains (losses) on investment
in Funds
    
    
    (21,382,030
    )
    
    
    21,263,303Total trading results
    
    
    27,081,404
    
    
    
    (9,371,874
    )Net income (loss)
    
    
    14,789,872
    
    
    
    (17,474,748
    )Subscriptions  Limited Partners
    
    
    82,092,942
    
    
    
    154,179,330Subscriptions  General Partner
    
    
    
    
    
    
    1,700,000Redemptions  Limited Partners
    
    
    (40,036,581
    )
    
    
    (26,689,096
    )Net increase (decrease) in Partners Capital
    
    
    56,846,233
    
    
    
    111,715,486Partners Capital, beginning of period
    
    
    1,169,565,735
    
    
    
    815,786,554Partners Capital, end of period
    
    $
    1,226,411,968
    
    
    $
    927,502,040Net asset value per unit
(439,915.9780 and 351,840.1684  units
outstanding at
March 31, 2011 and 2010, respectively)
    
    $
    2,787.83
    
    
    $
    2,636.15Net income (loss) per unit*
    
    $
    33.44
    
    
    $
    (57.03
    )Weighted average units outstanding
    
    
    438,843.1977
    
    
    
    336,758.0883
 
 *
    
    Based on change in net asset value per unit.  6




---



##### 



Orion Futures Fund L.P.Notes to Financial StatementsMarch 31, 2011
    (Unaudited)
  1.
    General:          Form 10-K
       7




---



##### 



Orion
    Futures Fund L.P.
    Notes to Financial Statements
March 31, 2011
    (Unaudited)
  2.
    Financial
    Highlights:   Three Months EndedMarch 31,2011
    
    
    2010Net realized and unrealized gains (losses) *
    
    $
    53.85
    
    
    $
    (41.60
    )Interest income
    
    
    0.65
    
    
    
    0.37Expenses **
    
    
    (21.06
    )
    
    
    (15.80
    )Increase (decrease) for the period
    
    
    33.44
    
    
    
    (57.03
    )Net asset value per unit, beginning of period
    
    
    2,754.39
    
    
    
    2,693.18Net asset value per unit, end of period
    
    $
    2,787.83
    
    
    $
    2,636.15
 
 *
    
    Includes brokerage commissions.**
    
    Excludes brokerage commissions. Three Months EndedMarch 31,2011
    
    
    2010Ratios to Average Net Assets:***Net
investment income(loss) before incentive fees****
    
    
    (3.4
    )%
    
    
    (3.8
    )%Operating
expenses
    
    
    3.6
    %
    
    
    3.9
    %Incentive fees
    
    
    0.2
    %
    
    
    
    %Total expenses
    
    
    3.8
    %
    
    
    3.9
    %Total return:Total return before incentive fees
    
    
    1.4
    %
    
    
    (2.1
    )%Incentive fees
    
    
    (0.2
    )%
    
    
    
    %Total return after incentive fees
    
    
    1.2
    %
    
    
    (2.1
    )%
 
 ***
    
    Annualized (other than incentive fees)*****
    
    Interest income less total expenses (exclusive of incentive
fees).    3.
    Trading
    Activities:       8




---



##### 



Orion Futures Fund L.P.
    Notes to Financial Statements
March 31, 2011
    (Unaudited)
     March 31, 2011AssetsFutures ContractsCurrencies
    
    $
    1,432,311Energy
    
    
    1,726,557Grains
    
    
    368,011Interest Rates Non-U.S.
    
    
    291,614Livestock
    
    
    97,940Metals
    
    
    4,294,490Softs
    
    
    189,992Total unrealized appreciation on
open futures contracts
    
    $
    8,400,915LiabilitiesFutures ContractsCurrencies
    
    $
    (90,537
    )Energy
    
    
    (9,240
    )Grains
    
    
    (549,895
    )Indices
    
    
    (1,300
    )Interest Rates U.S.
    
    
    (5,750
    )Interest Rates Non-U.S.
    
    
    (52,130
    )Metals
    
    
    (504,260
    )Softs
    
    
    (161,796
    )Total unrealized depreciation on
open futures contracts
    
    $
    (1,374,908
    )Net unrealized appreciation on
open futures contracts
    
    $
    7,026,007
    *
  *
    
    This amount is in Net unrealized appreciation on open futures
contracts on the Statements of Financial Condition.
 March 31, 2011AssetsForward ContractsMetals
    
    $
    28,178,645Total unrealized appreciation on
open forward contracts
    
    $
    28,178,645LiabilitiesForward ContractsMetals
    
    $
    (46,439,323
    )Total unrealized depreciation on
open forward contracts
    
    $
    (46,439,323
    )Net unrealized depreciation on
open forward contracts
    
    $
    (18,260,678)
    **
  **
    
    This amount is in Net unrealized
depreciation on open forward contracts on the Statements of Financial Condition.
  9




---



##### 



Orion Futures Fund L.P.
    Notes to Financial Statements
March 31, 2011
    (Unaudited)
 March 31, 2011AssetsOptions PurchasedMetals
    
    $
    2,550,776Options Purchased
    
    $
    2,550,776
    ***
  ***
    
    This amount is in Options purchased, at
fair value on the Statements of Financial Condition.
   December 31,2010AssetsFutures ContractsCurrencies

$
1,023,400Energy


1,076,962Grains


2,158,741Interest Rates U.S.


35,017Interest Rates
    Non-U.S.


113,936Livestock


95,380Metals


3,589,089Softs


2,714,932Total unrealized appreciation on open futures contracts

$
10,807,457LiabilitiesFutures ContractsCurrencies

$
(43,300
)Energy


(13,740
)Grains


(126,997
)Interest Rates U.S.


(6,375
)Interest Rates
    Non-U.S.


(2,758
)Metals


(15,796,062
)Softs


(65,993
)Total unrealized depreciation on open futures contracts

$
(16,055,225
)Net unrealized depreciation on open futures contracts

$
(5,247,768
)*     *
    
    This amount is in Net unrealized depreciation on open
    futures contracts on the Statements of Financial Condition. December 31,2010AssetsForward ContractsMetals

$
67,511,368Total unrealized appreciation on open forward contracts

$
67,511,368LiabilitiesForward ContractsCurrencies

$
(313
)Metals


(54,420,487
)Total unrealized depreciation on open forward contracts

$
(54,420,800
)Net unrealized appreciation on open forward contracts

$
13,090,568
**AssetsOptions PurchasedGrains

$
55,000Metals


5,280,173Total options purchased

$
5,335,173
***LiabilitiesOptions Premium ReceivedMetals

$
(14,130
)Total options premium received

$
(14,130
)****     **
    
    This amount is in Net unrealized appreciation on open
    forward contracts on the Statements of Financial Condition.***
    
    This amount is in Options purchased, at fair value
    on the Statements of Financial Condition.****
    
    This amount is in Options premium received, at fair
    value on the Statements of Financial Condition.   10




---



##### 



Orion Futures Fund L.P.
    Notes to Financial Statements
March 31, 2011
    (Unaudited)
   Three Months Ended
    
    
    Three Months EndedMarch 31, 2011
    
    
    March 31, 2010Sector
    
    Total trading results
    
    
    Total trading resultsCurrencies
    
    $
    (1,402,868
    )
    
    $
    470,724Energy
    
    
    3,530,419
    
    
    
    (3,230,788
    )Grains
    
    
    (2,466,349
    )
    
    
    (324,613
    )Indices
    
    
    (30,618
    )
    
    
    Interest Rates U.S.
    
    
    (1,997,411
    )
    
    
    (1,953,819
    )Interest Rates Non-U.S.
    
    
    (15,903
    )
    
    
    109,962Livestock
    
    
    (85,180
    )
    
    
    (420
    )Metals
    
    
    2,327,456
    
    
    
    (3,520,884
    )Softs
    
    
    450,231
    
    
    
    1,938,924Total
    
    $
    309,777
    
    
    $
    (6,510,914
    )
 4.
    Fair
    Value Measurements:  Partnerships and the Funds Investments.
  Partnership
and the Funds Fair Value Measurements.
   11




---



##### 



Orion Futures Fund L.P.
    Notes to Financial Statements
March 31, 2011
    (Unaudited)
    Quoted Prices inActive Markets


Significant Other


Significantfor Identical


Observable Inputs


Unobservable03/31/2011


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsOptions purchased
    
    $
    2,550,776
    
    
    $
    2,550,776
    
    
    $
    
    
    
    $
    Futures
    
    
    8,400,915
    
    
    
    8,400,915
    
    
    
    
    
    
    
    Forwards
    
    
    28,178,645
    
    
    
    28,178,645
    
    
    
    
    
    
    
    Investment in Funds
    
    
    1,060,363,037
    
    
    
    
    
    
    
    1,060,363,037
    
    
    
    Total assets
    
    $
    1,099,493,373
    
    
    $
    39,130,336
    
    
    $
    1,060,363,037
    
    
    $
    LiabilitiesFutures
    
    $
    1,374,908
    
    
    $
    1,374,908
    
    
    $
    
    
    
    $
    Forwards
    
    
    46,439,323
    
    
    
    46,439,323
    
    
    
    
    
    
    
    Total
liabilities
    
    
    47,814,231
    
    
    
    47,814,231
    
    
    
    
    
    
    
    Net fair value
    
    $
    1,051,679,142
    
    
    $
    (8,683,895
    )
    
    $
    1,060,363,037
    
    
    $
    Quoted Prices inActive Markets


Significant Other


Significantfor Identical


Observable Inputs


Unobservable12/31/2010*


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsOptions purchased

$
5,335,173


$
5,335,173


$



$
Futures


10,807,457



10,807,457







Forwards


67,511,368



67,511,368







Investment in Funds


981,904,411







981,904,411



Total assets

$
1,065,558,409


$
83,653,998


$
981,904,411


$
LiabilitiesFutures

$
16,055,225


$
16,055,225


$



$
Forwards


54,420,800



54,420,487



313



Options premium received


14,130



14,130







Total liabilities


70,490,155



70,489,842



313



Net  fair value

$
995,068,254


$
13,164,156


$
981,904,098


$
   12




---



##### 



Orion Futures Fund L.P.
    Notes to Financial Statements
March 31, 2011
    (Unaudited)
   5.
    Investment
    in Funds:               13




---



##### 



Orion Futures Fund L.P.
    Notes to Financial Statements
March 31, 2011
    (Unaudited)
    give-up,
     March 31, 2011Total Assets
    
    
    Total Liabilities
    
    
    Total CapitalAAA Master
    
    $
    1,298,771,812
    
    
    $
    311,711,140
    
    
    $
    987,060,672Willowbridge Master
    
    
    168,695,333
    
    
    
    80,498
    
    
    
    168,614,835Winton Master
    
    
    938,976,048
    
    
    
    889,625
    
    
    
    938,086,423Total
    
    $
    2,406,443,193
    
    
    $
    312,681,263
    
    
    $
    2,093,761,930
 December 31, 2010Total Assets
    
    
    Total Liabilities
    
    
    Total CapitalAAA Master
    
    $
    1,234,677,140
    
    
    $
    254,307,502
    
    
    $
    980,369,638Willowbridge Master
    
    
    216,360,362
    
    
    
    61,729
    
    
    
    216,298,633Winton Master
    
    
    883,842,483
    
    
    
    122,612
    
    
    
    883,719,871Total
    
    $
    2,334,879,985
    
    
    $
    254,491,843
    
    
    $
    2,080,388,142
   For the three months ended March 31, 2011Net Investment
    
    
    Total TradingIncome (loss)
    
    
    Results
    
    
    Net Income (Loss)AAA Master
    
    $
    (635,255
    )
    
    $
    23,936,932
    
    
    $
    23,301,677Willowbridge Master
    
    
    (25,559
    )
    
    
    6,874,935
    
    
    
    6,849,376Winton Master
    
    
    46,285
    
    
    
    22,234,532
    
    
    
    22,280,817Total
    
    $
    (614,529
    )
    
    $
    53,046,399
    
    
    $
    52,431,870For the three months ended March 31, 2010Net Investment
    
    
    Total TradingIncome (loss)
    
    
    Result
    
    
    Net Income (Loss)AAA Master
    
    $
    (1,020,434
    )
    
    $
    (32,837,037
    )
    
    $
    (33,857,471
    )Willowbridge Master
    
    
    (67,599
    )
    
    
    (20,526,632
    )
    
    
    (20,594,231
    )Winton Master
    
    
    (96,434
    )
    
    
    32,303,622
    
    
    
    32,207,188Total
    
    $
    (1,184,467
    )
    
    $
    (21,060,047
    )
    
    $
    (22,244,514
    )
  14




---



##### 



Orion Futures Fund L.P.
    Notes to Financial Statements
March 31, 2011
    (Unaudited)
   March 31, 2011
    
    
    For the three months ended March 31, 2011% ofPartnerships
    
    
    Fair
    
    
    Income
    
    
    Expenses
    
    
    Net
    

Investment


RedemptionInvestment
    
    Net Assets
    
    
    Value
    
    
    (Loss)
    
    
    Commissions
    
    
    Other
    
    
    Income (Loss)
    
    
    Objective
    
    PermittedAAA Master
    
    
    27.96
    %
    
    $
    339,591,575
    
    
    $
    7,705,865
    
    
    $
    209,582
    
    
    $
    55,847
    
    
    $
    7,440,436
    
    
    Energy Markets
    
    MonthlyWillowbridge
Master
    
    
    9.77
    %
    
    
    119,838,286
    
    
    
    5,006,433
    
    
    
    27,220
    
    
    
    20,937
    
    
    
    4,958,276
    
    
    Commodity Portfolio
    
    MonthlyWinton Master
    
    
    49.00
    %
    
    
    600,933,176
    
    
    
    14,294,470
    
    
    
    80,552
    
    
    
    18,825
    
    
    
    14,195,093
    
    
    Commodity Portfolio
    
    MonthlyTotal
    
    
    
    
    
    $
    1,060,363,037
    
    
    $
    27,006,768
    
    
    $
    317,354
    
    
    $
    95,609
    
    
    $
    26,593,805December 31, 2010
    
    

For
the three months ended March 31, 2010% ofPartnerships
    
    
    Fair
    
    
    Income
    
    
    Expenses
    
    
    Net
    
    
Investment


RedemptionInvestment
    
    Net Assets
    
    
    Value
    
    
    (Loss)
    
    
    Commissions
    
    
    Other
    
    
    Income (Loss)
    
    
    Objective
    
    PermittedAAA Master
    
    
    24.22
    %
    
    $
    283,238,250
    
    
    $
    (8,094,618
    )
    
    $
    234,143
    
    
    $
    43,419
    
    
    $
    (8,372,180
    )
    
    Energy Markets
    
    MonthlyWillowbridge
Master
    
    
    12.95
    %
    
    
    151,432,714
    
    
    
    (12,502,125
    )
    
    
    50,269
    
    
    
    12,156
    
    
    
    (12,564,550
    )
    
    Commodity Portfolio
    
    MonthlyWinton Master
    
    
    46.79
    %
    
    
    547,233,447
    
    
    
    17,841,061
    
    
    
    91,278
    
    
    
    9,307
    
    
    
    17,740,476
    
    
    Commodity Portfolio
    
    MonthlyTotal
    
    
    
    
    
    $
    981,904,411
    
    
    $
    (2,755,682
    )
    
    $
    375,690
    
    
    $
    64,882
    
    
    $
    (3,196,254
    )
 15




---



##### 



Orion Futures Fund L.P.
    Notes to Financial Statements
March 31, 2011
    (Unaudited)
  6. Financial Instrument Risks:
                16




---



##### 



Orion Futures Fund L.P.
    Notes to Financial Statements
March 31, 2011
    (Unaudited)
  7. Critical
    Accounting Policies:
  Use of Estimates.
  Partnerships and the Funds Investments.
  Partnership
and the Funds Fair Value Measurements.
    17




---



##### 



Orion Futures Fund L.P.
    Notes to Financial Statements
March 31, 2011
    (Unaudited)
  Futures Contracts.
  Forward Foreign Currency Contracts
    London Metals Exchange Forward
    Contracts.
  Options.
  Brokerage Commissions.
  Income Taxes.
 18




---



##### 



Orion Futures Fund L.P.
    Notes to Financial Statements
March 31, 2011
    (Unaudited)


Subsequent Events
  Net income (loss) per unit.
 19




---



##### 



Item 2.
    Managements
    Discussion and Analysis of Financial Condition and Results of
    Operations.  Liquidity
    and Capital Resources
        Critical
Accounting Policies
   20




---



##### 



Results
    of Operations
            21




---



##### 



22




---



##### 



Item 3.
    Quantitative
    and Qualitative Disclosures about Market Risk            one-day
     March 31, 2011
  Value at
    
    
    % of TotalMarket Sector
    
    Risk
    
    
    CapitalizationCurrencies
    
    $
    11,328,622
    
    
    
    0.93
    %Energy
    
    
    27,143,892
    
    
    
    2.21
    %Grains
    
    
    3,804,691
    
    
    
    0.31
    %Indices
    
    
    9,420,727
    
    
    
    0.77
    %Interest Rates U.S.
    
    
    738,877
    
    
    
    0.06
    %Interest Rates Non-U.S.
    
    
    4,439,819
    
    
    
    0.36
    %Livestock
    
    
    1,460,077
    
    
    
    0.12
    %Lumber
    
    
    14,482
    
    
    
    0.00
    %Metals
    
    
    6,659,939
    
    
    
    0.54
    %Softs
    
    
    6,835,466
    
    
    
    0.56
    %Total
    
    $
    71,846,592
    
    
    
    5.86
    %
   23




---



##### 



December 31, 2010
 % of TotalMarket Sector
    
    Value at Risk
    
    
    CapitalizationCurrencies
    
    $
    8,784,775
    
    
    
    0.75
    %Energy
    
    
    20,307,536
    
    
    
    1.74
    %Grains
    
    
    5,909,516
    
    
    
    0.50
    %Indices
    
    
    9,896,381
    
    
    
    0.85
    %Interest Rates U.S.
    
    
    1,998,797
    
    
    
    0.17
    %Interest Rates Non-U.S.
    
    
    4,235,023
    
    
    
    0.36
    %Livestock
    
    
    358,716
    
    
    
    0.03
    %Lumber
    
    
    26,863
    
    
    
    0.00
    %*Metals
    
    
    21,262,991
    
    
    
    1.82
    %Softs
    
    
    4,072,438
    
    
    
    0.35
    %Total
    
    $
    76,853,036
    
    
    
    6.57
    %
      March 31, 2011
 Three months ended  March 31, 2011Value at
    
    
    % of Total
    
    
    High
    
    
    Low
    
    
    Average ValueMarket Sector
    
    Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    at Risk*Currencies
    
    $
    2,835,499
    
    
    
    0.23
    %
    
    $
    3,244,334
    
    
    $
    556,905
    
    
    $
    2,007,653Energy
    
    
    2,149,250
    
    
    
    0.18
    %
    
    
    3,820,500
    
    
    
    576,950
    
    
    
    1,961,283Grains
    
    
    1,477,900
    
    
    
    0.12
    %
    
    
    2,363,500
    
    
    
    976,500
    
    
    
    1,596,083Indices
    
    
    36,000
    
    
    
    0.00
    %**
    
    
    715,500
    
    
    
    13,500
    
    
    
    45,000Interest Rates U.S.
    
    
    44,000
    
    
    
    0.00
    %**
    
    
    1,093,650
    
    
    
    44,000
    
    
    
    390,850Interest
Rates Non-U.S.
    
    
    1,431,633
    
    
    
    0.12
    %
    
    
    2,391,032
    
    
    
    435,800
    
    
    
    1,419,488Livestock
    
    
    87,100
    
    
    
    0.01
    %
    
    
    116,500
    
    
    
    6,000
    
    
    
    73,783Metals
    
    
    4,183,578
    
    
    
    0.34
    %
    
    
    15,676,637
    
    
    
    3,053,595
    
    
    
    5,890,942Softs
    
    
    1,003,100
    
    
    
    0.08
    %
    
    
    2,120,250
    
    
    
    293,850
    
    
    
    1,402,367Total
    
    $
    13,248,060
    
    
    
    1.08
    %  *
    
    Average of  month-end Values at Risk.**
    
    Due to rounding. 24




---



##### 



December 31, 2010
 Twelve months ended  December 31, 2010Value at
    
    
    % of Total
    
    
    High
    
    
    Low
    
    
    Average ValueMarket Sector
    
    Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    at Risk*Currencies
    
    $
    1,669,739
    
    
    
    0.15
    %
    
    $
    3,324,728
    
    
    $
    250,058
    
    
    $
    1,570,799Energy
    
    
    1,572,750
    
    
    
    0.13
    %
    
    
    6,356,500
    
    
    
    56,500
    
    
    
    2,141,045Grains
    
    
    1,994,050
    
    
    
    0.17
    %
    
    
    4,029,150
    
    
    
    228,250
    
    
    
    1,329,487Interest Rates U.S.
    
    
    598,250
    
    
    
    0.05
    %
    
    
    1,911,600
    
    
    
    102,000
    
    
    
    691,446Interest Rates Non-U.S.
    
    
    719,311
    
    
    
    0.06
    %
    
    
    2,737,047
    
    
    
    231,820
    
    
    
    1,207,028Livestock
    
    
    114,300
    
    
    
    0.01
    %
    
    
    394,450
    
    
    
    8,000
    
    
    
    125,388Metals
    
    
    14,637,181
    
    
    
    1.25
    %
    
    
    15,575,295
    
    
    
    260,649
    
    
    
    6,248,420Softs
    
    
    1,792,700
    
    
    
    0.15
    %
    
    
    2,829,825
    
    
    
    12,500
    
    
    
    1,230,146Total
    
    $
    23,098,281
    
    
    
    1.97
    %
 
 *
    
    Annual average of month-end Value at Risk.   March 31, 2011
  Three months ended  March 31, 2011% of Total
         
         
         High
         
         
         Low
         
         
         AverageMarket Sector
         
         Value at Risk
         
         
         Capitalization
         
         
         Value at Risk
         
         
         Value at Risk
         
         
         Value at Risk*Energy
    
    $
    57,475,118
    
    
    
    5.82
    %
    
    $
    57,475,118
    
    
    $
    26,234,892
    
    
    $
    49,405,096Lumber
    
    
    42,100
    
    
    
    0.01
    %**
    
    
    93,600
    
    
    
    1,600
    
    
    
    20,167Total
    
    $
    57,517,218
    
    
    
    5.83
    %   *
    
    Average monthly Values at Risk.**
    
    Due to rounding.  December 31, 2010
 Twelve months ended  December 31, 2010Value at
    
    
    % of Total
    
    
    High
    
    
    Low
    
    
    Average ValueMarket Sector
    
    Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    at Risk*Energy
    
    $
    51,518,525
    
    
    
    5.26
    %
    
    $
    143,609,109
    
    
    $
    51,518,525
    
    
    $
    94,568,057Lumber
    
    
    93,600
    
    
    
    0.01
    %
    
    
    126,800
    
    
    
    22,200
    
    
    
    57,792Total
    
    $
    51,612,125
    
    
    
    5.27
    %
 
 *
    
    Annual average of month-end Value at Risk. 25




---



##### 



March 31, 2011
  Three months ended March 31, 2011Value at
    
    
    % of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    

         Value at Risk*Currencies
    
    $
    3,114,825
    
    
    
    1.85
    %
    
    $
    3,114,825
    
    
    $
    657,720
    
    
    $
    1,874,919Energy
    
    
    3,518,500
    
    
    
    2.09
    %
    
    
    3,518,500
    
    
    
    1,464,750
    
    
    
    2,468,833Grains
    
    
    681,000
    
    
    
    0.40
    %
    
    
    2,109,250
    
    
    
    226,500
    
    
    
    1,002,500Interest Rates U.S.
    
    
    415,250
    
    
    
    0.25
    %
    
    
    1,011,711
    
    
    
    302,400
    
    
    
    361,238Interest Rates Non-U.S.
    
    
    1,685,948
    
    
    
    1.00
    %
    
    
    2,134,289
    
    
    
    1,229,606
    
    
    
    1,489,274Metals
    
    
    3,110,127
    
    
    
    1.84
    %
    
    
    3,587,000
    
    
    
    1,760,207
    
    
    
    2,736,952Softs
    
    
    2,629,700
    
    
    
    1.56
    %
    
    
    2,629,700
    
    
    
    850,500
    
    
    
    2,240,400Total
    
    $
    15,155,350
    
    
    
    8.99
    %
   *
    
    Average of month-end Values at Risk.  December 31, 2010
 Twelve months ended  December 31, 2010Value at
    
    
    % of Total
    
    
    High
    
    
    Low
    
    
    Average ValueMarket Sector
    
    Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    at Risk*Currencies
    
    $
    2,232,591
    
    
    
    1.03
    %
    
    $
    7,096,121
    
    
    $
    940,854
    
    
    $
    3,547,819Energy
    
    
    2,742,900
    
    
    
    1.27
    %
    
    
    6,539,400
    
    
    
    460,750
    
    
    
    2,570,821Grains
    
    
    2,062,750
    
    
    
    0.95
    %
    
    
    3,762,750
    
    
    
    207,200
    
    
    
    1,238,276Interest Rates U.S.
    
    
    774,255
    
    
    
    0.36
    %
    
    
    3,269,700
    
    
    
    243,600
    
    
    
    1,143,161Interest Rates Non-U.S.
    
    
    1,908,692
    
    
    
    0.88
    %
    
    
    5,489,653
    
    
    
    289,858
    
    
    
    2,700,503Livestock
    
    
    112,000
    
    
    
    0.05
    %
    
    
    171,200
    
    
    
    44,800
    
    
    
    92,018Metals
    
    
    3,791,000
    
    
    
    1.75
    %
    
    
    5,643,396
    
    
    
    710,500
    
    
    
    2,729,785Softs
    
    
    2,024,400
    
    
    
    0.94
    %
    
    
    3,388,150
    
    
    
    198,000
    
    
    
    1,542,246Total
    
    $
    15,648,588
    
    
    
    7.23
    %
 
 *
    
    Annual average of month-end Value at Risk. 26




---



##### 



March 31, 2011
  Three months ended March 31, 2011% of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Currencies
    
    $
    9,794,825
    
    
    
    1.04
    %
    
    $
    15,140,134
    
    
    $
    8,078,809
    
    
    $
    10,435,543Energy
    
    
    4,245,784
    
    
    
    0.45
    %
    
    
    4,245,784
    
    
    
    2,892,420
    
    
    
    3,605,810Grains
    
    
    2,874,571
    
    
    
    0.31
    %
    
    
    4,371,245
    
    
    
    2,837,661
    
    
    
    3,353,776Indices
    
    
    13,132,023
    
    
    
    1.40
    %
    
    
    71,629,694
    
    
    
    12,196,809
    
    
    
    15,223,697Interest Rates U.S.
    
    
    635,935
    
    
    
    0.07
    %
    
    
    1,592,375
    
    
    
    635,935
    
    
    
    1,052,308Interest
Rates Non-U.S.
    
    
    4,987,691
    
    
    
    0.53
    %
    
    
    6,560,642
    
    
    
    3,725,576
    
    
    
    6,008,676Livestock
    
    
    44,375
    
    
    
    0.00
    %**
    
    
    274,700
    
    
    
    44,375
    
    
    
    162,775Metals
    
    
    6,804,273
    
    
    
    0.73
    %
    
    
    7,869,347
    
    
    
    6,413,729
    
    
    
    7,090,013Softs
    
    
    1 ,220,236
    
    
    
    0.13
    %
    
    
    1,476,652
    
    
    
    463,289
    
    
    
    916,355$
    43,739,713
    
    
    
    4.66
    %
   *
    
    Average of month-end Values at Risk.**
    
    Due to rounding.  December 31, 2010
 Twelve months ended  December 31, 2010Value at
    
    
    % of Total
    
    
    High
    
    
    Low
    
    
    Average ValueMarket Sector
    
    Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    at Risk*Currencies
    
    $
    8,969,665
    
    
    
    1.01
    %
    
    $
    13,529,797
    
    
    $
    3,127,432
    
    
    $
    9,858,603Energy
    
    
    3,277,769
    
    
    
    0.37
    %
    
    
    4,944,082
    
    
    
    236,988
    
    
    
    2,213,508Grains
    
    
    3,992,796
    
    
    
    0.45
    %
    
    
    4,064,389
    
    
    
    556,164
    
    
    
    2,285,359Indices
    
    
    15,987,691
    
    
    
    1.81
    %
    
    
    22,020,780
    
    
    
    2,382,812
    
    
    
    12,021,182Interest Rates U.S.
    
    
    1,387,025
    
    
    
    0.16
    %
    
    
    10,348,050
    
    
    
    275,672
    
    
    
    5,195,958Interest Rates Non-U.S.
    
    
    3,521,207
    
    
    
    0.40
    %
    
    
    13,490,861
    
    
    
    1,949,046
    
    
    
    7,347,287Livestock
    
    
    268,200
    
    
    
    0.03
    %
    
    
    437,350
    
    
    
    158,080
    
    
    
    263,226Metals
    
    
    6,416,979
    
    
    
    0.73
    %
    
    
    8,963,451
    
    
    
    3,939,668
    
    
    
    5,989,765Softs
    
    
    1,393,632
    
    
    
    0.16
    %
    
    
    2,071,953
    
    
    
    538,916
    
    
    
    1,029,710Total
    
    $
    45,214,964
    
    
    
    5.12
    %
 
 *
    
    Annual average of month-end Value at Risk. 27




---



##### 



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.   28




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PART II.
    OTHER INFORMATION
  Item 1.
    Legal
    Proceedings.    Mutual Funds
    FINRA Settlement
  Auction Rate Securities
   29




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Subprime Mortgage-Related Actions
    Credit Crisis Related Matters
    30




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Item 1A.
    Risk
    Factors.   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, 2011  
    January 31, 2011



4,726.7140



$
2,738.70




N/A




N/AFebruary 1, 2011  
    February 28, 2011



5,038.9156



$
2,784.76




N/A




N/AMarch 1, 2011  
    March 31, 2011



4,684.4172



$
2,787.83




N/A




N/ATotal



14,450.0468



$
2,770.69       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) and incorporated herein by reference.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) and incorporated herein by reference.
 (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) and incorporated herein by reference.(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) and incorporated herein by reference.(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) and incorporated herein by reference.(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) and incorporated herein by reference.(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) and incorporated herein by reference.(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) and incorporated herein by reference.(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) and incorporated herein by reference.(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) and incorporated herein by reference.
 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) and incorporated herein by reference.
 (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) and incorporated herein by reference.
 32




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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) and incorporated herein by reference.(c)
    
    Letter extending the Management Agreements between the General Partner
and AAA Capital Management Inc. from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.1(c) to the annual
report on Form 10-K filed on March 31, 2011) and incorporated herein by reference.
 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) and incorporated herein by reference.
 (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) and incorporated herein by reference.(b)
    
    Letter extending the Management Agreement between the General Partner
and Willowbridge Associates Inc. from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.2(b) to the annual
report on Form 10-K filed on March 31, 2011) and incorporated herein by reference.
 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) and incorporated herein by reference.
 (a)
    
    Letter extending the Management Agreement between the General Partner
and Winton Capital Management Limited from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.3(b) to the
annual report on Form 10-K filed on March 31, 2011) and incorporated herein by reference.
 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) and incorporated herein by reference.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) and incorporated herein by reference.10.6
    
    Form of Subscription Agreement (filed as Exhibit 10.5 to the Form 10-Q filed on
November 16, 2009) and incorporated herein by reference.10.7
    
    Form of Third-Party Subscription Agreement (filed as Exhibit 10.5 to the Form
10-Q filed on November 16, 2009) and incorporated herein by reference.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) and incorporated herein by reference.
     33




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SIGNATURES
     ORION FUTURES FUND L.P.
  By:
    Ceres Managed Futures LLC    By:
    /s/  Walter Davis     Date:
    May  16, 2011    By:
    /s/  Jennifer
    Magro      Date:
    May  16, 2011  34