##### 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 September 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




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##### 



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


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

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

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

6Notes to Financial Statements (unaudited)

7  20Item 2.


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

21  24Item 3.


Quantitative and Qualitative
    Disclosures about Market Risk

25  27Item 4.


Controls and Procedures

28PART II - Other Information

29  32Exhibits31.1       Certification31.2       Certification32.1       Certification32.2       CertificationEX-31.1EX-31.2EX-32.1EX-32.2  2




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


December 31,2010


2009Assets:Investment in Funds, at fair value

    $
    888,696,510


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

    
    184,807,688



100,683,304Cash margin

    
    15,704,657



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

    
    6,811,852



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

    
    4,771,876



950,175Options purchased, at fair value (cost $1,837,810 and $0 at September 30, 2010 and December
31, 2009, respectively)

    
    1,160,773



1,101,953,356



827,863,372Interest receivable

    
    18,567



1,562Total assets

    $
    1,101,971,923


$
827,864,934Liabilities and Partners Capital:Liabilities:Options premium received, at fair value (premium $106,625
and $0 at September 30, 2010 and December 31, 2009, respectively)

    $
    3,750


$
Accrued expenses:Brokerage commissions

    
    2,634,583



1,986,385Management fees

    
    1,634,091



1,254,174Administrative fees

    
    458,015



344,078Incentive fees

    
    2,506,281


    
Other

    
    98,312



93,103Redemptions payable

    
    10,453,926



8,400,640Total liabilities

    
    17,788,958



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

    
    10,773,289



7,926,943Limited
Partners, 406,253.8287 and 299,965.0835 Redeemable Units outstanding at  September 30, 2010
and December 31, 2009,
    respectively

    
    1,073,409,676



807,859,611Total partners capital

    
    1,084,182,965



815,786,554Total liabilities and partners capital

    $
    1,101,971,923


$
827,864,934Net asset value per unit

    $
    2,642.21


$
2,693.18    3




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Orion Futures Fund L.P.Condensed Schedule of Investments
September 30, 2010
(Unaudited)
 % of PartnersNumber of Contracts
    
    
    Fair Value
    
    

    CapitalFutures Contracts PurchasedCurrencies
    
    
    634
    
    
    $
    1,644,872
    
    
    
    0.15
    %Energy
    
    
    568
    
    
    
    424,733
    
    
    
    0.04Grains
    
    
    874
    
    
    
    1,435,543
    
    
    
    0.13Interest Rates U.S.
    
    
    432
    
    
    
    103,525
    
    
    
    0.01Interest Rates Non-U.S.
    
    
    354
    
    
    
    35,343
    
    
    
    0.00
    *Livestock
    
    
    166
    
    
    
    (44,980
    )
    
    
    (0.00
    ) *Metals
    
    
    710
    
    
    
    4,482,828
    
    
    
    0.41Softs
    
    
    562
    
    
    
    1,292,880
    
    
    
    0.12Total futures contracts purchased
    
    
    
    
    
    
    9,374,744
    
    
    
    0.86Futures Contracts SoldEnergy
    
    
    162
    
    
    
    376,390
    
    
    
    0.03Grains
    
    
    163
    
    
    
    5,313
    
    
    
    0.00
    *Indices
    
    
    4
    
    
    
    1,860
    
    
    
    0.00
    *Interest Rates U.S.
    
    
    20
    
    
    
    (10,250
    )
    
    
    (0.00
    ) *Interest Rates Non-U.S.
    
    
    208
    
    
    
    (17,790
    )
    
    
    (0.00
    ) *Livestock
    
    
    52
    
    
    
    (19,790
    )
    
    
    (0.00
    ) *Metals
    
    
    616
    
    
    
    (2,898,625
    )
    
    
    (0.27
    )Total futures contracts sold
    
    
    
    
    
    
    (2,562,892
    )
    
    
    (0.24
    )Unrealized Appreciation on Open Forward ContractsMetals
    
    
    3,686
    
    
    
    39,906,410
    
    
    
    3.68Total unrealized appreciation on open forward contracts
    
    
    
    
    
    
    39,906,410
    
    
    
    3.68Unrealized Depreciation on Open Forward ContractsMetals
    
    
    3,440
    
    
    
    (35,134,534
    )
    
    
    (3.24
    )Total unrealized depreciation on open forward contracts
    
    
    
    
    
    
    (35,134,534
    )
    
    
    (3.24
    )Options PurchasedPutsMetals
    
    
    60
    
    
    
    105
    
    
    
    0.00
    *CallMetals
    
    
    95
    
    
    
    962,543
    
    
    
    0.09Energy
    
    
    400
    
    
    
    74,000
    
    
    
    0.01Grains
    
    
    100
    
    
    
    82,500
    
    
    
    0.01Softs
    
    
    25
    
    
    
    41,625
    
    
    
    0.00
    *Total options purchased
    
    
    
    
    
    
    1,160,773
    
    
    
    0.11Options Premium ReceivedPutsGrainsTotal options premium received
    
    
    150
    
    
    
    (3,750
    )
    
    
    (0.00
    ) *(3,750
    )
    
    
    (0.00
    ) *Investment in FundsAAA Master Fund LLC
    
    
    
    
    
    
    267,790,580
    
    
    
    24.70CMF Willowbridge Argo Master Fund LP
    
    
    
    
    
    
    145,269,328
    
    
    
    13.40CMF Winton Master LP
    
    
    
    
    
    
    475,636,602
    
    
    
    43.87Total investment in Funds
    
    
    
    
    
    
    888,696,510
    
    
    
    81.97Total fair value
    
    
    
    
    
    $
    901,437,261
    
    
    
    83.14
    %
   4




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##### Table of Contents



Orion Futures Fund L.P.
    Condensed Schedule of Investments
    December 31, 2009
   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
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2010
    
    
    2009
    
    
    2010
    
    
    2009Income:Net gains on trading of commodity interests and investment in
Funds:Net realized gains (losses) on closed contracts
    
    $
    4,805,257
    
    
    $
    (4,855,184
    )
    
    $
    (5,657,154
    )
    
    $
    (5,606,585
    )Net realized gains (losses) on investment in Funds
    
    
    4,857,297
    
    
    
    (6,668,146
    )
    
    
    (2,120,921
    )
    
    
    121,488,416Change in net unrealized gains (losses) on open contracts
    
    
    6,187,480
    
    
    
    1,170,075
    
    
    
    7,003,584
    
    
    
    (94,453
    )Change in net unrealized gains (losses) on investment
in Funds
    
    
    11,659,900
    
    
    
    7,997,677
    
    
    
    16,884,531
    
    
    
    (115,408,975
    )Gain (loss) from, trading net
    
    
    27,509,934
    
    
    
    (2,355,578
    )
    
    
    16,110,040
    
    
    
    378,403Interest income
    
    
    66,476
    
    
    
    22,621
    
    
    
    139,740
    
    
    
    60,700Interest income from investment in Funds
    
    
    263,509
    
    
    
    151,965
    
    
    
    605,235
    
    
    
    428,088Total income (loss)
    
    
    27,839,919
    
    
    
    (2,180,992
    )
    
    
    16,855,015
    
    
    
    867,191Expenses:Brokerage commissions, including clearing fees
    
    
    2,943,794
    
    
    
    2,251,687
    
    
    
    9,197,994
    
    
    
    5,556,620Management fees
    
    
    4,798,415
    
    
    
    3,427,414
    
    
    
    13,327,364
    
    
    
    9,687,324Administrative fees
    
    
    1,342,505
    
    
    
    928,856
    
    
    
    3,711,971
    
    
    
    2,625,301Incentive fees
    
    
    2,506,281
    
    
    
    1,035,966
    
    
    
    4,395,222
    
    
    
    4,138,088Other
    
    
    185,478
    
    
    
    124,495
    
    
    
    624,841
    
    
    
    374,447Total expenses
    
    
    11,776,473
    
    
    
    7,768,418
    
    
    
    31,257,392
    
    
    
    22,381,780Net income (loss)
    
    
    16,063,446
    
    
    
    (9,949,410
    )
    
    
    (14,402,377
    )
    
    
    (21,514,589
    )Additions   Limited Partner
    
    
    75,675,700
    
    
    
    107,453,226
    
    
    
    364,108,030
    
    
    
    242,185,226Additions   General Partner
    
    
    
    
    
    
    
    
    
    
    2,975,000
    
    
    
    Redemptions  Limited Partners
    
    
    (25,248,599
    )
    
    
    (26,558,490
    )
    
    
    (84,284,242
    )
    
    
    (113,952,130
    )Net increase (decrease) in Partners Capital
    
    
    66,490,547
    
    
    
    70,945,326
    
    
    
    268,396,411
    
    
    
    106,718,507Partners Capital, beginning of period
    
    
    1,017,692,418
    
    
    
    684,660,034
    
    
    
    815,786,554
    
    
    
    648,886,853Partners Capital, end of period
    
    $
    1,084,182,965
    
    
    $
    755,605,360
    
    
    $
    1,084,182,965
    
    
    $
    755,605,360Net asset value per unit
(410,331.2069 and 274,813.5025  units
outstanding at September 30, 2010 and 2009, respectively)
    

    $
    2,642.21
    
    
    $
    2,749.52
    
    
    $
    2,642.21
    
    
    $
    2,749.52Net income
(loss) per Redeemable Unit and General Partner unit equivalents
    

    $
    39.10
    
    
    $
    (37.87
    )
    
    $
    (50.97
    )
    
    $
    (87.41
    )Weighted average units outstanding
    
    
    408,058.2249
    
    
    
    268,549.9973
    
    
    
    376,423.8169
    
    
    
    250,370.2244See accompanying notes to financial statements.
 6




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##### Table of Contents



Orion Futures Fund L.P.Notes to Financial StatementsSeptember 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
September 30, 2010
    (Unaudited)
  2.
    Financial
    Highlights:   Three Months Ended
    
    
    Nine Months MonthsSeptember 30,
    
    
    September 30,2010
    
    
    2009
    
    
    2010
    
    
    2009Net realized and unrealized gains (losses) *
    
    $
    59.91
    
    
    $
    (17.49
    )
    
    $
    5.10
    
    
    $
    (21.06
    )Interest income
    
    
    0.81
    
    
    
    0.67
    
    
    
    1.94
    
    
    
    1.97Expenses **
    
    
    (21.62
    )
    
    
    (21.05
    )
    
    
    (58.01
    )
    
    
    (68.32
    )Increase (decrease) for the period
    
    
    39.10
    
    
    
    (37.87
    )
    
    
    (50.97
    )
    
    
    (87.41
    )Net asset value per  unit, beginning of period
    
    
    2,603.11
    
    
    
    2,787.39
    
    
    
    2,693.18
    
    
    
    2,836.93Net asset value per  unit, end of period
    
    $
    2,642.21
    
    
    $
    2,749.52
    
    
    $
    2,642.21
    
    
    $
    2,749.52
 
 *
    
    Includes brokerage commissions**
    
    Excludes brokerage commissions Three Months Ended
    
    
    Nine Months MonthsSeptember 30,
    
    
    September 30,2010
    
    
    2009
    
    
    2010
    
    
    2009Ratios to Average Net Assets:***Net investment loss before incentive fees****
    
    
    (3.4
    )%
    
    
    (3.6
    )%
    
    
    (3.6
    )%
    
    
    (3.5
    )%Operating expense
    
    
    3.5
    %
    
    
    3.7
    %
    
    
    3.7
    %
    
    
    3.6
    %Incentive fees
    
    
    0.2
    %
    
    
    0.1
    %
    
    
    0.5
    %
    
    
    0.6
    %Total expenses
    
    
    3.7
    %
    
    
    3.8
    %
    
    
    4.2
    %
    
    
    4.2
    %Total return:Total return before incentive fees
    
    
    1.7
    %
    
    
    (1.2
    )%
    
    
    (1.5
    )%
    
    
    (2.6
    )%Incentive fees
    
    
    (0.2
    )%
    
    
    (0.2
    )%
    
    
    (0.4
    )
    
    
    (0.5
    )%Total return after incentive fees
    
    
    1.5
    %
    
    
    (1.4
    )%
    
    
    (1.9
    )%
    
    
    (3.1
    )%
 
 ***
    
    Annualized (other than incentive fee)****
    
    Interest income less total expenses (exclusive of incentive fees)    3.
    Trading
    Activities:       8




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
September 30, 2010
    (Unaudited)
     September 30, 2010AssetsFutures ContractsCurrencies
    
    $
    1,650,872Energy
    
    
    877,633Grains
    
    
    1,758,948Indices
    
    
    1,860Interest Rates U.S.
    
    
    105,275Interest Rates Non-U.S.
    
    
    170,656Livestock
    
    
    800Metals
    
    
    4,499,403Softs
    
    
    1,523,503Total
unrealized appreciation on open futures contracts
    
    $
    10,588,950LiabilitiesFutures ContractsCurrencies
    
    $
    (6,000
    )Energy
    
    
    (76,510
    )Grains
    
    
    (318,093
    )Interest Rates U.S.
    
    
    (12,000
    )Interest Rates Non-U.S.
    
    
    (153,103
    )Livestock
    
    
    (65,570
    )Metals
    
    
    (2,915,200
    )Softs
    
    
    (230,622
    )Total
unrealized depreciation on open futures contracts
    
    $
    (3,777,098
    )Net
unrealized appreciation on open futures contracts
    
    $
    6,811,852
    *
  *
    
    This amount is in Net unrealized appreciation on open futures
contracts on the Statements of Financial Condition.
 September 30, 2010AssetsForward ContractsMetals
    
    
    39,906,410Total
unrealized appreciation on open forward contracts
    
    $
    39,906,410LiabilitiesForward ContractsMetals
    
    
    (35,134,534
    )Total
unrealized depreciation on open forward contracts
    
    $
    (35,134,534
    )Net
unrealized appreciation on open forward contracts
    
    $
    4,771,876
    **
  **
    
    This amount is in Net unrealized
appreciation on open forward contracts on the Statements of Financial Condition.
  9




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
September 30, 2010
    (Unaudited)
 September 30, 2010AssetsOptions PurchasedEnergy
    
    $
    74,000Metals
    
    
    962,648Grains
    
    
    82,500Softs
    
    
    41,625Total options purchased
    
    $
    1,160,773
    ***
  ***
    
    This amount is in Options purchased, at
fair value, on the Statements of Financial Condition.
 September 30, 2010LiabilitiesOptions Premium ReceivedGrains
    
    
    (3,750
    )Total options premium received
    
    $
    (3,750
    )****
 
 ****
    
    This amount is in Options premium received at fair value, on the Statements of Financial
Condition.  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 on

    open forward contracts

$
3,563,843LiabilitiesForward ContractsMetals

$
(2,613,668
)Total unrealized depreciation on open 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
September 30, 2010
    (Unaudited)
   Three Months Ended
    
    
    Three Months Ended
    
    
    Nine Months Ended
    
    
    Nine Months EndedSeptember 30, 2010
    
    
    September 30, 2009
    
    
    September 30, 2010
    
    
    September 30, 2009Sector
    
    Gain (loss) from trading
    
    
    Gain (loss) from trading
    
    
    Gain (loss) from trading
    
    
    Gain (loss) from tradingCurrencies
    
    $
    5,945,510
    
    
    $
    (1,588,471
    )
    
    $
    7,830,169
    
    
    $
    (1,850,206
    )Energy
    
    
    (9,037,904
    )
    
    
    (1,080,215
    )
    
    
    (19,387,924
    )
    
    
    (1,005,044
    )Grains
    
    
    8,711,776
    
    
    
    60,989
    
    
    
    5,713,050
    
    
    
    1,097,454Indices
    
    
    (60,251
    )
    
    
    
    
    
    
    (55,528
    )
    
    
    Interest Rates U.S.
    
    
    1,057,562
    
    
    
    (127,718
    )
    
    
    2,266,651
    
    
    
    (1,586,493
    )Interest Rates Non-U.S.
    
    
    622,283
    
    
    
    (334,859
    )
    
    
    5,324,703
    
    
    
    (1,219,116
    )Livestock
    
    
    87,970
    
    
    
    (454,211
    )
    
    
    (429,080
    )
    
    
    (455,441
    )Metals
    
    
    3,411,538
    
    
    
    (38,540
    )
    
    
    (1,189,164
    )
    
    
    246,275Softs
    
    
    254,253
    
    
    
    (122,084
    )
    
    
    1,273,553
    
    
    
    (928,467
    )Total
    
    $
    10,992,737
    
    
    $
    (3,685,109
    )
    
    $
    1,346,430
    
    
    $
    (5,701,038
    )
 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
September 30, 2010
    (Unaudited)
    Quoted Prices inActive Markets


Significant Other


Significantfor Identical


Observable Inputs


Unobservable09/30/2010


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsOptions Purchased
    
    $
    1,160,773
    
    
    $
    1,160,773
    
    
    $
    
    
    
    $
    Futures
    
    
    6,811,852
    
    
    
    6,811,852
    
    
    
    
    
    
    
    Forwards
    
    
    4,771,876
    
    
    
    4,771,876
    
    
    
    
    
    
    
    Investment in Funds
    
    
    888,696,510
    
    
    
    
    
    
    
    888,696,510
    
    
    
    Total assets
    
    $
    901,441,011
    
    
    $
    12,744,501
    
    
    $
    888,696,510
    
    
    $
    LiabilitiesOptions Premium Received
    
    $
    (3,750
    )
    
    $
    (3,750
    )
    
    
    
    
    
    
    Total
liabilities
    
    
    (3,750
    )
    
    $
    (3,750
    )
    
    
    
    
    
    
    Total fair value
    
    $
    901,437,261
    
    
    $
    12,740,751
    
    
    $
    888,696,510
    
    
    $
    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
September 30, 2010
    (Unaudited)
   5.
    Investment
    in Funds:               13




---



##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
    September 30, 2010
    (Unaudited)
    give-up,
     September 30, 2010Total Assets
    
    
    Total Liabilities
    
    
    Total CapitalAAA Master
    
    $
    1,365,184,544
    
    
    $
    343,751,769
    
    
    $
    1,021,432,775Willowbridge Master
    
    
    217,621,623
    
    
    
    43,436
    
    
    
    217,578,187Winton Master
    
    
    799,636,374
    
    
    
    116,941
    
    
    
    799,519,433Total
    
    $
    2,382,442,541
    
    
    $
    343,912,146
    
    
    $
    2,038,530,395
  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
    September 30, 2010
    (Unaudited)
   For the three months ended September 30, 2010Gain(loss) from
    
    
    Total IncomeTrading, net
    
    
    (loss)
    
    
    Net income (loss)AAA Master
    
    $
    9,489,985
    
    
    $
    9,697,237
    
    
    $
    8,893,472Willowbridge Master
    
    
    (2,263,514
    )
    
    
    (2,194,399
    )
    
    
    (2,291,718
    )Winton Master
    
    
    26,050,805
    
    
    
    26,290,442
    
    
    
    26,114,191Total
    
    $
    33,277,276
    
    
    $
    33,793,280
    
    
    $
    32,715,945For the three months ended September 30, 2009Gain(loss) from
    
    
    Total IncomeTrading, net
    
    
    (loss)
    
    
    Net income (loss)AAA Master
    
    $
    40,194,995
    
    
    $
    40,401,333
    
    
    $
    39,460,830Willowbridge Master
    
    
    7,322,348
    
    
    
    7,447,037
    
    
    
    7,339,274Winton Master
    
    
    (20,085,700
    )
    
    
    (20,026,877
    )
    
    
    (20,139,642
    )Total
    
    $
    27,431,643
    
    
    $
    27,821,493
    
    
    $
    26,660,462For the nine months ended September 30, 2010Gain(loss) from
    
    
    Total IncomeTrading, net
    
    
    (loss)
    
    
    Net income (loss)AAA Master
    
    $
    (34,508,985
    )
    
    $
    (33,992,563
    )
    
    $
    (36,937,144
    )Willowbridge Master
    
    
    (36,147,175
    )
    
    
    (35,978,106
    )
    
    
    (36,294,042
    )Winton Master
    
    
    80,520,886
    
    
    
    81,058,904
    
    
    
    80,474,255Total
    
    $
    9,864,726
    
    
    $
    11,088,235
    
    
    $
    7,243,069For the nine months ended September 30, 2009Gain(loss) from
    
    
    Total IncomeTrading, net
    
    
    (loss)
    
    
    Net income (loss)AAA Master
    
    $
    143,718,324
    
    
    $
    144,327,480
    
    
    $
    141,598,562Willowbridge Master
    
    
    (29,310,166
    )
    
    
    (28,936,214
    )
    
    
    (29,217,064
    )Winton Master
    
    
    (23,802,080
    )
    
    
    (23,622,469
    )
    
    
    (23,895,630
    )Total
    
    $
    90,606,078
    
    
    $
    91,768,797
    
    
    $
    88,485,868
 15




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##### Table of Contents



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

Investment


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


PermittedAAA Master
    
    
    24.70
    %
    
    $
    267,790,580
    
    
    $
    2,523,600
    
    
    $
    161,584
    
    
    $
    48,436
    
    
    $
    2,313,580
    


    Energy Markets

    MonthlyWillowbridge
Master
    
    
    13.40
    %
    
    
    145,269,328
    
    
    
    (1,413,593
    )
    
    
    47,967
    
    
    
    16,136
    
    
    
    (1,477,696
    )


    Commodity Portfolio

    MonthlyWinton Master
    
    
    43.87
    %
    
    
    475,636,602
    
    
    
    15,670,699
    
    
    
    87,075
    
    
    
    16,606
    
    
    
    15,567,018
    


    Commodity Portfolio

    
    MonthlyTotal
    
    
    
    
    
    $
    888,696,510
    
    
    $
    16,780,706
    
    
    $
    296,626
    
    
    $
    81,178
    
    
    $
    16,402,902September 30, 2010
    
    

For
the nine months ended September 30, 2010% ofPartnerships
    
    
    Fair
    
    
    Income
    
    
    Expenses
    
    
    Net
    
    
Investment


RedemptionInvestment
    
    Net Assets
    
    
    Value
    
    
    (Loss)
    
    
    Commissions
    
    
    Other
    
    
    Income (loss)
    
    
    Objective
    
    PermittedAAA Master
    
    
    24.70
    %
    
    $
    267,790,580
    
    
    $
    (8,424,424
    )
    
    $
    611,829
    
    
    $
    137,958
    
    
    $
    (9,174,211
    )


    Energy Markets

    MonthlyWillowbridge
Master
    
    
    13.40
    %
    
    
    145,269,328
    
    
    
    (22,466,180
    )
    
    
    160,329
    
    
    
    42,223
    
    
    
    (22,668,732
    )


    Commodity Portfolio

    MonthlyWinton Master
    
    
    43.87
    %
    
    
    475,636,602
    
    
    
    46,259,449
    
    
    
    284,257
    
    
    
    45,968
    
    
    
    45,929,224
    


    Commodity Portfolio

    
    MonthlyTotal
    
    
    
    
    
    $
    888,696,510
    
    
    $
    15,368,845
    
    
    $
    1,056,415
    
    
    $
    226,149
    
    
    $
    14,086,281December 31, 2009


For the three months ended September 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
    
    
    $
    8,683,054
    
    
    $
    181,792
    
    
    $
    29,699
    
    
    $
    8,471,563
    
    
    Energy Markets
    
    MonthlyWillowbridge Master
    
    
    16.66
    %
    
    
    135,945,983
    
    
    
    (10,921,492
    )
    
    
    53,377
    
    
    
    10,614
    
    
    
    (10,985,483
    )
    
    Commodity Portfolio
    
    MonthlyWinton Master
    
    
    35.97
    %
    
    
    293,399,613
    
    
    
    3,719,934
    
    
    
    44,820
    
    
    
    3,948
    
    
    
    3,671,166
    
    
    Commodity Portfolio
    
    MonthlyTotal
    
    
    
    
    
    $
    714,110,396
    
    
    $
    1,481,496
    
    
    $
    279,989
    
    
    $
    44,261
    
    
    $
    1,157,246December 31, 2009
    
    


For
the nine months ended

September 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
    
    
    $
    29,137,670
    
    
    $
    473,840
    
    
    $
    101,679
    
    
    $
    28,562,151
    
    
    Energy Markets
    
    MonthlyWillowbridge
Master
    
    
    16.66
    %
    
    
    135,945,983
    
    
    
    (11,263,564
    )
    
    
    125,780
    
    
    
    21,365
    
    
    
    (11,410,709
    )
    
    Commodity Portfolio
    
    MonthlyWinton Master
    
    
    35.97
    %
    
    
    293,399,613
    
    
    
    (11,366,577
    )
    
    
    107,240
    
    
    
    11,436
    
    
    
    (11,485,253
    )
    
    Commodity Portfolio
    
    MonthlyTotal
    
    
    
    
    
    $
    714,110,396
    
    
    $
    6,507,529
    
    
    $
    706,860
    
    
    $
    134,480
    
    
    $
    5,666,189
 16




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##### Table of Contents



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




---



##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
September 30, 2010
    (Unaudited)
  7. Critical
    Accounting Policies:
  Use of Estimates.
  Statement of Cash Flows.
  Partnerships and the Funds Investments.
  Partnerships and the Funds Fair Value Measurements.
  18




---



##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
September 30, 2010
    (Unaudited)
  Futures Contracts.
  Forward Foreign Currency Contracts
    London Metals Exchange Forward
    Contracts.
  Options.
  Brokerage Commissions.
  Income Taxes.
 19




---



##### Table of Contents



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


Subsequent Events
  Recent Accounting Pronouncements
  No. 2010-09 2010-09),
  Net income (loss) per Redeemable Unit and General Partner Unit
Equivalents.
  8. Subsequent Event:
   20




---



##### 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.
 21




---



##### Table of Contents



Forward Foreign Currency Contracts
    London Metals Exchange Forward
    Contracts.
  Options.
  Brokerage Commissions.
  22




---



##### Table of Contents



Results
    of Operations
           23




---



##### Table of Contents



24




---



##### Table of Contents



Item 3.
    Quantitative
    and Qualitative Disclosures about Market Risk            one-day
     September 30, 2010
    (Unaudited)
  Value at
    
    
    % of TotalMarket Sector
    
    Risk
    
    
    CapitalizationCurrencies
    
    $
    11,803,380
    
    
    
    1.09
    %Energy
    
    
    30,422,240
    
    
    
    2.81
    %Grains
    
    
    4,245,821
    
    
    
    0.39
    %Interest Rates U.S.
    
    
    6,776,550
    
    
    
    0.63
    %Interest Rates Non-U.S.
    
    
    8,722,416
    
    
    
    0.80
    %Livestock
    
    
    503,741
    
    
    
    0.05
    %Lumber
    
    
    10,978
    
    
    
    0.00
    %*Metals
    
    
    14,352,475
    
    
    
    1.32
    %Softs
    
    
    3,579,463
    
    
    
    0.33
    %Indices
    
    
    7,496,577
    
    
    
    0.69
    %Total
    
    $
    87,913,641
    
    
    
    8.11
    %
    25




---



##### Table of Contents



September 30, 2010
    (Unaudited)
 Three months ended  September 30, 2010Value at
    
    
    % of Total
    
    
    High
    
    
    Low
    
    
    Average ValueMarket Sector
    
    Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    at Risk*Currencies
    
    $
    1,463,699
    
    
    
    0.12
    %
    
    $
    3,324,728
    
    
    $
    1,106,838
    
    
    $
    1,641,892Energy
    
    
    2,251,200
    
    
    
    0.21
    %
    
    
    3,894,100
    
    
    
    516,100
    
    
    
    2,561,333Grains
    
    
    1,274,483
    
    
    
    0.12
    %
    
    
    4,029,150
    
    
    
    330,240
    
    
    
    1,710,003Interest Rates U.S.
    
    
    408,150
    
    
    
    0.04
    %
    
    
    1,314,150
    
    
    
    120,312
    
    
    
    737,233Interest Rates Non-U.S.
    
    
    863,469
    
    
    
    0.08
    %
    
    
    2,067,837
    
    
    
    568,577
    
    
    
    177,752Livestock
    
    
    192,200
    
    
    
    0.02
    %
    
    
    394,450
    
    
    
    79,100
    
    
    
    220,783Metals
    
    
    8,209,408
    
    
    
    0.76
    %
    
    
    10,415,660
    
    
    
    260,649
    
    
    
    8,832,514Softs
    
    
    1,289,925
    
    
    
    0.12
    %
    
    
    2,829,825
    
    
    
    708,675
    
    
    
    1,545,142Indices
    
    
    18,000
    
    
    
    0.00
    %**
    
    
    135,000
    
    
    
    9,000
    
    
    
    54,000Total
    
    $
    15,970,534
    
    
    
    1.47
    %  *
    
    Average of  month-end Values at Risk.  **
    
    Due to rounding    September 30, 2010
    (Unaudited)
  Three months ended  September 30, 2010% of Total
         
         
         High
         
         
         Low
         
         
         AverageMarket Sector
         
         Value at Risk
         
         
         Capitalization
         
         
         Value at Risk
         
         
         Value at Risk
         
         
         Value at Risk*Energy
    
    $
    100,250,545
    
    
    
    9.82
    %
    
    $
    131,455,008
    
    
    $
    67,777,807
    
    
    $
    95,952,362Lumber
    
    
    41,900
    
    
    
    0.00
    %**
    
    
    88,100
    
    
    
    41,900
    
    
    
    55,033Total
    
    $
    100,292,445
    
    
    
    9.82
    %   *
    
    Average monthly Values at Risk.**
    
    Due to rounding.   September 30, 2010

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

         Value at Risk*Currencies
    
    $
    4,332,223
    
    
    
    2.00
    %
    
    $
    7,096,121
    
    
    $
    940,854
    
    
    $
    4,094,533Energy
    
    
    1,020,000
    
    
    
    0.47
    %
    
    
    6,539,400
    
    
    
    480,000
    
    
    
    2,750,750Grains
    
    
    1,304,750
    
    
    
    0.60
    %
    
    
    3,762,750
    
    
    
    510,840
    
    
    
    1,211,150Interest Rates U.S.
    
    
    1,555,500
    
    
    
    0.71
    %
    
    
    3,269,700
    
    
    
    780,800
    
    
    
    1,930,233Interest Rates Non-U.S.
    
    
    1,876,018
    
    
    
    0.86
    %
    
    
    5,489,653
    
    
    
    640,428
    
    
    
    2,375,204Livestock
    
    
    108,800
    
    
    
    0.05
    %
    
    
    108,800
    
    
    
    44,800
    
    
    
    99,900Metals
    
    
    3,379,005
    
    
    
    1.55
    %
    
    
    3,379,005
    
    
    
    1,105,260
    
    
    
    2,121,300Softs
    
    
    2,284,000
    
    
    
    1.05
    %
    
    
    3,388,150
    
    
    
    799,500
    
    
    
    1,454,633Total
    
    $
    15,860,296
    
    
    
    7.29
    %
   *
    
    Average of month-end Values at Risk. 26




---



##### Table of Contents



September 30, 2010
    (Unaudited)
  Three months ended September 30, 2010% of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Currencies
    
    $
    12,513,875
    
    
    
    1.56
    %
    
    $
    13,529,797
    
    
    $
    5,424,505
    
    
    $
    9,313,786Energy
    
    
    2,057,205
    
    
    
    0.26
    %
    
    
    3,640,200
    
    
    
    236,988
    
    
    
    1,971,144Grains
    
    
    3,529,016
    
    
    
    0.44
    %
    
    
    3,529,016
    
    
    
    556,164
    
    
    
    2,253,529Interest Rates U.S.
    
    
    8,956,850
    
    
    
    1.12
    %
    
    
    10,348,050
    
    
    
    7,407,050
    
    
    
    8,348,717Interest Rates Non-U.S.
    
    
    11,102,130
    
    
    
    1.39
    %
    
    
    13,490,861
    
    
    
    8,749,852
    
    
    
    10,172,949Livestock
    
    
    401,450
    
    
    
    0.05
    %
    
    
    401,450
    
    
    
    190,900
    
    
    
    286,400Metals
    
    
    6,530,911
    
    
    
    0.82
    %
    
    
    6,530,911
    
    
    
    3,939,668
    
    
    
    4,957,860Softs
    
    
    1,283,742
    
    
    
    0.16
    %
    
    
    1,283,742
    
    
    
    708,094
    
    
    
    1,055,530Indices
    
    
    12,569,037
    
    
    
    1.57
    %
    
    
    12,569,036
    
    
    
    2,382,812
    
    
    
    6,125,469Total
    
    $
    58,944,216
    
    
    
    7.37
    %
   *
    
    Average of month-end Values at Risk. 27




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##### 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.   28




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##### Table of Contents



PART II.
    OTHER INFORMATION
  Item 1.
    Legal
    Proceedings.   29




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##### Table of Contents



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 ProgramsJuly 1, 2010  
    July 31, 2010



2,674.0263



$
2,583.50




N/A




N/AAugust 1, 2010  
    August 31, 2010



2,983.3913



$
2,643.41




N/A




N/ASeptember 1, 2010  
    September 30, 2010



3,956.5083



$
2,642.21




N/A




N/ATotal



9,613.9259



$
2,626.25       Item 3.
    Defaults
    Upon Senior Securities.  None.  Item 4.
    [Removed and
Reserved]  Item 5.
    Other
    Information.  None.  30




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##### Table of Contents



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).
 31




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##### Table of Contents



(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).
     32




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##### Table of Contents



SIGNATURES
     ORION FUTURES FUND L.P.
  By:
    Ceres Managed Futures LLC    By:
    /s/  Walter Davis     Date:
    November 12, 2010    By:
    /s/  Jennifer
    Magro      Date:
    November 12, 2010  33