FORM10-Q

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON,D.C. 20549

(X) QUARTERLY REPORT UNDER SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

OR (  )TRANSITION REPORT UNDER SECTION 13 OR 15(d)

OF THE SECURITIESEXCHANGE ACT OF 1934

For The Quarter EndedSeptember 30, 2005

Commission File Number0-50271

SALOMON SMITH BARNEY ORION FUTURES FUNDL.P.

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(Exact name ofregistrant as specified in its charter)

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|--------------------------------------------------------------|--|-------------------------------------|--|--|--|--|
| New York                                                     |  | 22-3644546                          |
| (State orother jurisdiction ofincorporation or organization) |  | (I.R.S. EmployerIdentification No.) |
|                                                              |

c/oCitigroup Managed Futures LLC 731 Lexington Avenue. – 25thFl. New York, New York 10022

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(Address and Zip Code ofprincipal executive offices)

(212) 559-2011

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(Registrant'stelephone number, including area code)

Indicate by checkmark whether the registrant (1) has filed all reports required to befiled by Section 13 or 15(d) of the Securities Exchange Act of 1934during the preceding 12 months (or for such shorter period that theregistrant was required to file such reports), and (2) has been subjectto such filing requirements for the past 90 days.

Yes  X    No      

Indicate by check mark whether the registrant is anaccelerated filer (as defined in Rule 12b-2 of the Exchange Act).

Yes  X    No      

Indicateby check mark whether the registrant is a shell company (as defined inRule 12b-2 of the ExchangeAct).

Yes         No  X

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SALOMON SMITHBARNEY ORION FUTURES FUND L.P.

FORM 10-Q

INDEX

|                                 |  |                                                                                                                                 |  |               |  |  |  |  |  |  |
|---------------------------------|--|---------------------------------------------------------------------------------------------------------------------------------|--|---------------|--|--|--|--|--|--|
|                            |  |                                                                                                                            |  | PageNumber    |
| PART I - Financial Information: |  |                                                                                                                            |
| Item1.                          |  | FinancialStatements:                                                                                                            |  |          |
|                            |  | Statements ofFinancial Condition at September 30, 2005 and December 31,2004(unaudited)                                          |  | 3             |
|                            |  | Condensed Schedules of Investments at September30, 2005 and December 31, 2004 (unaudited)                                       |  | 4– 5    |
|                            |  | Statements of Income andExpenses and Partners' Capital for the three and ninemonths ended September 30, 2005and 2004(unaudited) |  | 6             |
|                            |  | Statementsof Cash Flows for the three and nine monthsended September 30,2005 and 2004(unaudited)                                |  | 7             |
|                            |  | Notes toFinancial Statements (unaudited)                                                                                        |  | 8 –13   |
| Item 2.                         |  | Management's Discussion andAnalysisof Financial Condition and Results ofOperations                                              |  | 14 – 16 |
| Item3.                          |  | Quantitative and QualitativeDisclosures about MarketRisk                                                                        |  | 16 – 17 |
| Item4.                          |  | Controls andProcedures                                                                                                          |  | 17            |
| PART II -OtherInformation       |  |                                                                                                                            |  | 18            |
|                                 |

2

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PART I

Item 1.Financial Statements

Salomon Smith Barney Orion Futures FundL.P. Statements of Financial Condition(Unaudited)

|                                                                                                                                        |  |                  |             |                 |  |        |             |        |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------|--|------------------|-------------|-----------------|--|--------|-------------|--------|--|--|
|                                                                                                                                   |  | September30,2005 |             | December31,2004 |
| **Assets:**                                                                                                                            |  |             |        |            |  |   |        |   |
| Investmentin Partnerships, at fairvalue                                                                                                |  | $                | 152,333,737 |            |  | $      | 84,542,782  |   |
| Equityin commodity futures trading account:                                                                                            |  |             |        |            |  |   |        |   |
| Cash(restricted $1,345,711 and $5,271,154 in 2005 and 2004, respectively)in commodity futures tradingaccount                           |  |             | 10,764,253  |            |  |   | 36,084,976  |   |
| Netunrealized appreciation on open futurespositions                                                                                    |  |             | 547,903     |            |  |   | 2,612,228   |   |
|                                                                                                                                   |  |             | 163,645,893 |            |  |   | 123,239,986 |   |
| Interestreceivable                                                                                                                     |  |             | 30,461      |            |  |   | 62,043      |   |
|                                                                                                                                   |  | $                | 163,676,354 |            |  | $      | 123,302,029 |   |
|                                                                                                                                   |  |             |        |            |  |   |        |   |
| **Liabilitiesand Partners'Capital:**                                                                                                   |  |             |        |            |  |   |        |   |
| Liabilities:                                                                                                                           |  |             |        |            |  |   |        |   |
| Accruedexpenses:                                                                                                                       |  |             |        |            |  |   |        |   |
| Commissions                                                                                                                            |  | $                | 147,860     |            |  | $      | 162,453     |   |
| Managementfees                                                                                                                         |  |             | 248,217     |            |  |   | 192,180     |   |
| Administrativefees                                                                                                                     |  |             | 67,146      |            |  |   | 52,089      |   |
| Incentivefees                                                                                                                          |  |             | 2,219,153   |            |  |   | 849,874     |   |
| Other                                                                                                                                  |  |             | 139,213     |            |  |   | 142,507     |   |
| Redemptionspayable                                                                                                                     |  |             | 1,211,059   |            |  |   | 3,119,102   |   |
|                                                                                                                                   |  |             | 4,032,648   |            |  |   | 4,518,205   |   |
|                                                                                                                                   |  |             |        |            |  |   |        |   |
| Partners'Capital:                                                                                                                      |  |             |        |            |  |   |        |   |
| General Partner,865.3542 Unit equivalents outstanding in 2005 and2004                                                                  |  |             | 1,380,404   |            |  |   | 1,184,090   |   |
| LimitedPartners, 99,212.5958 and 85,943.7403 Redeemable Units of LimitedPartnership Interest outstanding in 2005 and 2004,respectively |  |             | 158,263,302 |            |  |   | 117,599,734 |   |
|                                                                                                                                   |  |             | 159,643,706 |            |  |   | 118,783,824 |   |
|                                                                                                                                   |  | $                | 163,676,354 |            |  | $      | 123,302,029 |   |
|                                                                                                                                        |

SeeAccompanying Notes to Financial Statements.

3

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Salomon Smith Barney OrionFutures Fund L.P. Condensed Schedule of Investments September30, 2005(Unaudited)

|                                        |  |                                       |  |           |             |         |  |        |        |        |  |        |        |        |  |  |  |  |
|----------------------------------------|--|---------------------------------------|--|-----------|-------------|---------|--|--------|--------|--------|--|--------|--------|--------|--|--|--|--|
| Sector                                 |  | Contract                              |  | FairValue |             |    |  |   |
| Currencies                             |  |                                  |  |      |        |    |  |   |   |   |  |   |   |   |
|                                   |  | Futurescontracts purchased 0.02%      |  | $         | 36,380      |    |  |   |   |   |  |   |   |   |
|                                   |  | Futures contracts sold0.10%           |  |      | 157,344     |    |  |   |   |   |  |   |   |   |
| TotalCurrencies 0.12%                  |  |                                  |  |      | 193,724     |    |  |   |   |   |  |   |   |   |
|                                   |  |                                  |  |      |        |    |  |   |   |   |  |   |   |   |
| Energy(0.03)%                          |  | Futures contracts purchased(0.03)%    |  |      | (45,431     | )  |  |   |   |   |  |   |   |   |
|                                   |  |                                  |  |      |        |    |  |   |   |   |  |   |   |   |
| Grains                                 |  | Futurescontracts purchased 0.02%      |  |      | 24,650      |    |  |   |   |   |  |   |   |   |
|                                   |  | Futures contracts sold0.10%           |  |      | 165,707     |    |  |   |   |   |  |   |   |   |
| TotalGrains 0.12%                      |  |                                  |  |      | 190,357     |    |  |   |   |   |  |   |   |   |
|                                   |  |                                  |  |      |        |    |  |   |   |   |  |   |   |   |
| Interest Rates Non-U.S.0.01%           |  | Futures contracts sold0.01%           |  |      | 18,585      |    |  |   |   |   |  |   |   |   |
|                                   |  |                                  |  |      |        |    |  |   |   |   |  |   |   |   |
| Livestock 0.03%                        |  | Futurescontracts purchased 0.03%      |  |      | 52,760      |    |  |   |   |   |  |   |   |   |
|                                   |  |                                  |  |      |        |    |  |   |   |   |  |   |   |   |
| Metals 0.06%                           |  | Futurescontracts purchased 0.06%      |  |      | 100,060     |    |  |   |   |   |  |   |   |   |
|                                   |  |                                  |  |      |        |    |  |   |   |   |  |   |   |   |
| Softs                                  |  |                                  |  |      |        |    |  |   |   |   |  |   |   |   |
|                                   |  | Futurescontracts purchased 0.03%      |  |      | 43,068      |    |  |   |   |   |  |   |   |   |
|                                   |  | Futures contracts sold(0.00)%*        |  |      | (5,220      | )  |  |   |   |   |  |   |   |   |
| TotalSofts 0.03%                       |  |                                  |  |      | 37,848      |    |  |   |   |   |  |   |   |   |
|                                   |  |                                  |  |      |        |    |  |   |   |   |  |   |   |   |
| Investment InPartnership               |  |                                  |  |      |        |    |  |   |   |   |  |   |   |   |
|                                   |  | SB AAA Master Fund LLC39.87%          |  |      | 63,656,438  |    |  |   |   |   |  |   |   |   |
|                                   |  | CMFWillowbridge Master Fund LP 24.42% |  |      | 38,990,355  |    |  |   |   |   |  |   |   |   |
|                                   |  | CMF Winton Master Fund LP31.13%       |  |      | 49,686,944  |    |  |   |   |   |  |   |   |   |
| Total Investment in Partnerships95.42% |  |                                  |  |      | 152,333,737 |    |  |   |   |   |  |   |   |   |
|                                   |  |                                  |  |      |        |    |  |   |   |   |  |   |   |   |
| TotalFair Value 95.76%                 |  |                                  |  | $         | 152,881,640 |    |  |   |   |   |  |   |   |   |
|                                        |

|                    |  |                         |             |                              |  |        |        |          |  |  |
|--------------------|--|-------------------------|-------------|------------------------------|--|--------|--------|----------|--|--|
| CountryComposition |  | Investmentsat FairValue |             | % ofInvestment atFair Values |
| Germany            |  | $                       | 4,919       |                         |  |   | 0.00   | %*  |
| UnitedKingdom      |  |                    | 13,667      |                         |  |   | 0.01   |     |
| UnitedStates       |  |                    | 152,863,054 |                         |  |   | 99.99  |     |
|               |  | $                       | 152,881,640 |                         |  |   | 100.00 | %   |
|                    |

Percentagesare based on Partners' Capital unless otherwiseindicated.

* Due to rounding.

See AccompanyingNotes to Financial Statements.

4

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Salomon Smith Barney OrionFutures Fund L.P. Condensed Schedule of Investments December31, 2004 (Unaudited)

|                                       |  |                                    |  |           |            |         |  |  |  |  |
|---------------------------------------|--|------------------------------------|--|-----------|------------|---------|--|--|--|--|
| Sector                                |  | Contract                           |  | FairValue |
| Currencies                            |  | Futurescontracts purchased0.84%    |  | $         | 994,089    |    |
|                                  |  | Futurescontracts sold(0.00)%*      |  |      | (606       | )  |
| TotalCurrencies0.84%                  |  |                               |  |      | 993,483    |    |
| Energy0.61%                           |  | Futures contracts sold0.61%        |  |      | 724,990    |    |
| Grains                                |  |                               |  |      |       |    |
|                                  |  | Futurescontracts purchased0.00%*   |  |      | (313       | )  |
|                                  |  | Futurescontracts sold(0.02)%       |  |      | (20,275    | )  |
| TotalGrains(0.02)%                    |  |                               |  |      | (20,588    | )  |
| InterestRates U.S. 0.04%              |  | Futures contracts sold0.04%        |  |      | 44,813     |    |
| InterestRates Non-U.S.                |  |                               |  |      |       |    |
|                                  |  | Futurescontracts purchased0.22%    |  |      | 266,606    |    |
|                                  |  | Futurescontracts sold(0.00)%*      |  |      | 3,001      |    |
| TotalInterest Rates Non-U.S.0.22%     |  |                               |  |      | 269,607    |    |
| Livestock0.04%                        |  | Futures contracts purchased0.04%   |  |      | 40,990     |    |
| Metals(0.01)%                         |  | Futures contracts purchased(0.01)% |  |      | (7,003     | )  |
| Softs                                 |  |                               |  |      |       |    |
|                                  |  | Futures contracts purchased0.50%   |  |      | 597,196    |    |
|                                  |  | Futurescontracts sold(0.02)%       |  |      | (31,260    | )  |
| TotalSofts0.48%                       |  |                               |  |      | 565,936    |    |
| Investmentin Partnerships             |  |                               |  |      |       |    |
|                                  |  | SB AAAMaster Fund LLC38.91%        |  |      | 46,220,533 |    |
|                                  |  | CMF WintonMaster Fund LP32.26%     |  |      | 38,322,249 |    |
| TotalInvestment in Partnerships71.17% |  |                               |  |      | 84,542,782 |    |
| Total Fair Value73.37%                |  |                               |  | $         | 87,155,010 |    |
|                                       |

|                    |  |                          |            |                            |  |        |        |         |  |  |
|--------------------|--|--------------------------|------------|----------------------------|--|--------|--------|---------|--|--|
| CountryComposition |  | Investmentsat Fair Value |            | %ofInvestmentsat FairValue |
| Germany            |  | $                        | 121,341    |                       |  |   | 0.14   | %  |
| UnitedKingdom      |  |                     | 148,266    |                       |  |   | 0.17   | %  |
| UnitedStates       |  |                     | 86,885,403 |                       |  |   | 99.69  | %  |
|               |  | $                        | 87,155,010 |                       |  |   | 100.00 | %  |
|                    |

Percentagesare based on Partners' Capital unless otherwiseindicated.

* Due to rounding.

See AccompanyingNotes to Financial Statements.

5

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Salomon Smith Barney OrionFutures Fund L.P. Statements of Income and Expenses andPartners' Capital(Unaudited)

|                                                                                                                                           |  |                                |             |                              |  |        |             |         |  |        |             |         |  |        |             |         |  |  |
|-------------------------------------------------------------------------------------------------------------------------------------------|--|--------------------------------|-------------|------------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                                                                      |  | ThreeMonths EndedSeptember 30, |             | Nine MonthsEndedSeptember30, |
|                                                                                                                                      |  | 2005                           |             | 2004                         |  | 2005   |             | 2004    |
| **Income:**                                                                                                                               |  |                           |        |                         |  |   |        |    |  |   |        |    |  |   |        |    |
| Netgains (losses) on trading of commodityinterests:                                                                                       |  |                           |        |                         |  |   |        |    |  |   |        |    |  |   |        |    |
| Realized gains (losses) on closedpositions                                                                                                |  | $                              | (575,698    | )                       |  | $      | (4,459,031  | )  |  | $      | (10,725,162 | )  |  | $      | 4,256,088   |    |
| Changein unrealized gains on open positions and investment inPartnerships                                                                 |  |                           | 13,095,442  |                         |  |   | 15,451,406  |    |  |   | 44,526,793  |    |  |   | 13,036,999  |    |
|                                                                                                                                      |  |                           | 12,519,744  |                         |  |   | 10,992,375  |    |  |   | 33,801,631  |    |  |   | 17,293,087  |    |
| Interestincome                                                                                                                            |  |                           | 91,622      |                         |  |   | 200,213     |    |  |   | 588,493     |    |  |   | 488,156     |    |
|                                                                                                                                      |  |                           | 12,611,366  |                         |  |   | 11,192,588  |    |  |   | 34,390,124  |    |  |   | 17,781,243  |    |
| **Expenses:**                                                                                                                             |  |                           |        |                         |  |   |        |    |  |   |        |    |  |   |        |    |
| Brokeragecommissions including clearing fees of $9,967, $48,293, $82,229 and$146,478,respectively                                         |  |                           | 942,284     |                         |  |   | 563,571     |    |  |   | 2,626,975   |    |  |   | 1,614,281   |    |
| Managementfees                                                                                                                            |  |                           | 718,739     |                         |  |   | 492,593     |    |  |   | 1,938,268   |    |  |   | 1,409,089   |    |
| Administrativefees                                                                                                                        |  |                           | 195,525     |                         |  |   | 132,982     |    |  |   | 527,586     |    |  |   | 382,058     |    |
| Incentivefees                                                                                                                             |  |                           | 2,219,153   |                         |  |   | 1,109,973   |    |  |   | 7,548,870   |    |  |   | 2,689,036   |    |
| Otherexpenses                                                                                                                             |  |                           | 127,959     |                         |  |   | 76,813      |    |  |   | 239,388     |    |  |   | 149,610     |    |
|                                                                                                                                      |  |                           | 4,203,660   |                         |  |   | 2,375,932   |    |  |   | 12,881,087  |    |  |   | 6,244,074   |    |
| Netincome                                                                                                                                 |  |                           | 8,407,706   |                         |  |   | 8,816,656   |    |  |   | 21,509,037  |    |  |   | 11,537,169  |    |
| Additions— LimitedPartner                                                                                                           |  |                           | 12,685,000  |                         |  |   | 6,005,000   |    |  |   | 33,149,000  |    |  |   | 21,129,000  |    |
| —GeneralPartner                                                                                                                     |  |                           | —     |                         |  |   | —     |    |  |   | —     |    |  |   | 440,051     |    |
| Redemptions                                                                                                                               |  |                           | (4,498,709  | )                       |  |   | (4,014,297  | )  |  |   | (13,798,155 | )  |  |   | (12,495,696 | )  |
| Netincrease in Partners'capital                                                                                                           |  |                           | 16,593,997  |                         |  |   | 10,807,359  |    |  |   | 40,859,882  |    |  |   | 20,610,524  |    |
| Partners'capital, beginning ofperiod                                                                                                      |  |                           | 143,049,709 |                         |  |   | 97,272,145  |    |  |   | 118,783,824 |    |  |   | 87,468,980  |    |
| Partners'capital, end ofperiod                                                                                                            |  | $                              | 159,643,706 |                         |  | $      | 108,079,504 |    |  | $      | 159,643,706 |    |  | $      | 108,079,504 |    |
| Netasset value per Redeemable Unit (100,077.9500 and 87,600.5351Redeemable Units outstanding at September 30, 2005 and 2004,respectively) |  | $                              | 1,595.19    |                         |  | $      | 1,233.78    |    |  | $      | 1,595.19    |    |  | $      | 1,233.78    |    |
| Netincome per Redeemable Unit of Limited Partnership Interest and GeneralPartner Unitequivalent                                           |  | $                              | 85.53       |                         |  | $      | 99.59       |    |  | $      | 226.86      |    |  | $      | 133.59      |    |
|                                                                                                                                           |

SeeAccompanying Notes to Financial Statements.

6

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Salomon Smith Barney OrionFutures Fund L.P. Statements of Cash Flows(Unaudited)

|                                                                                                  |  |                                |             |                              |  |        |             |         |  |        |             |         |  |        |             |         |  |  |
|--------------------------------------------------------------------------------------------------|--|--------------------------------|-------------|------------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                             |  | ThreeMonths EndedSeptember 30, |             | Nine MonthsEndedSeptember30, |
|                                                                                             |  | 2005                           |             | 2004                         |  | 2005   |             | 2004    |
| Cashflows from operating activities:                                                             |  |                           |        |                         |  |   |        |    |  |   |        |    |  |   |        |    |
| Net income(loss)                                                                                 |  | $                              | 8,407,706   |                         |  | $      | 8,816,656   |    |  | $      | 21,509,037  |    |  | $      | 11,537,169  |    |
| Adjustments to reconcile net income (loss) tonet cash provided by (used in) operatingactivities: |  |                           |        |                         |  |   |        |    |  |   |        |    |  |   |        |    |
| Changes in operatingassets and liabilities:                                                      |  |                           |        |                         |  |   |        |    |  |   |        |    |  |   |        |    |
| (Increase) decreasein investment in Partnerships, at fairvalue                                   |  |                           | (48,974,666 | )                       |  |   | (10,133,194 | )  |  |   | (67,790,955 | )  |  |   | (16,197,070 | )  |
| (Increase) decrease in restrictedcash                                                            |  |                           | 10,511,687  |                         |  |   | (5,153,209  | )  |  |   | 3,925,443   |    |  |   | (340,169    | )  |
| (Increase)decrease in net unrealized appreciation/depreciation on open futurespositions          |  |                           | 3,595,480   |                         |  |   | (5,469,342  | )  |  |   | 2,064,325   |    |  |   | 30,270      |    |
| (Increase)decrease in unrealized appreciation on open forwardcontracts                           |  |                           | —     |                         |  |   | (191,261    | )  |  |   | —     |    |  |   | 1,687,266   |    |
| (Increase) decrease ininterest receivable                                                        |  |                           | 76,576      |                         |  |   | (21,934     | )  |  |   | 31,582      |    |  |   | (32,696     | )  |
| Increase (decrease) inunrealized depreciation on open forward contracts                          |  |                           | —     |                         |  |   | 137,642     |    |  |   | —     |    |  |   | (286,730    | )  |
| Accruedexpenses:                                                                                 |  |                           |        |                         |  |   |        |    |  |   |        |    |  |   |        |    |
| Increase (decrease) incommissions                                                                |  |                           | (196,759    | )                       |  |   | 68,994      |    |  |   | (14,593     | )  |  |   | 4,500       |    |
| Increase (decrease) in managementfees                                                            |  |                           | 24,725      |                         |  |   | 19,828      |    |  |   | 56,037      |    |  |   | 26,737      |    |
| Increase (decrease) inadministrative fees                                                        |  |                           | 6,219       |                         |  |   | 5,247       |    |  |   | 15,057      |    |  |   | 6,933       |    |
| Increase (decrease) in incentivefees                                                             |  |                           | (85,216     | )                       |  |   | 1,109,973   |    |  |   | 1,369,279   |    |  |   | 570,519     |    |
| Increase (decrease) inother                                                                      |  |                           | (12,378     | )                       |  |   | 72,645      |    |  |   | (3,294      | )  |  |   | 44,019      |    |
| Net cash provided by (used in)operatingactivities                                                |  |                           | (26,646,626 | )                       |  |   | (10,737,955 | )  |  |   | (38,838,082 | )  |  |   | (2,949,252  | )  |
| Cash flows from financingactivities:                                                             |  |                           |        |                         |  |   |        |    |  |   |        |    |  |   |        |    |
| Proceeds from additions —Limited Partners                                                  |  |                           | 12,685,000  |                         |  |   | 6,005,000   |    |  |   | 33,149,000  |    |  |   | 21,129,000  |    |
| Proceedsfrom additions — General Partner                                                   |  |                           | —     |                         |  |   | —     |    |  |   | —     |    |  |   | 440,051     |    |
| Payments for redemptions — LimitedPartners                                                 |  |                           | (5,904,303  | )                       |  |   | (3,151,695  | )  |  |   | (15,706,198 | )  |  |   | (13,505,321 | )  |
| Net cash provided by (used in) financingactivities                                               |  |                           | 6,780,697   |                         |  |   | 2,853,305   |    |  |   | 17,442,802  |    |  |   | 8,063,730   |    |
| Net change in cash                                                                               |  |                           | (19,865,929 | )                       |  |   | (7,884,650  | )  |  |   | (21,395,280 | )  |  |   | 5,114,478   |    |
| Unrestricted cash, at beginning ofyear                                                           |  |                           | 29,284,471  |                         |  |   | 49,814,912  |    |  |   | 30,813,822  |    |  |   | 36,815,784  |    |
| Unrestricted cash, at end ofyear                                                                 |  | $                              | 9,418,542   |                         |  | $      | 41,930,262  |    |  | $      | 9,418,542   |    |  | $      | 41,930,262  |    |
|                                                                                                  |

See Accompanying Notes toFinancial Statements.

7

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements September 30, 2005(Unaudited)

1.    General:

Salomon Smith Barney Orion Futures Fund L.P. (the"Partnership") is a limited partnershiporganized on March 22, 1999 under the partnership laws of the State ofNew York to engage, directly or indirectly, in the speculative tradingof a diversified portfolio of commodity interests, including options,commodity futures and forward contracts on United States exchanges andcertain foreign exchanges. The Partnership may trade commodity futuresand options contracts of any kind. In addition, the Partnership mayenter into swap contracts on energy-related products. The commodityinterests that are traded by the Partnership are volatile and involve ahigh degree of market risk.

Between March 31, 1999 (commencementof the offering period) and June 10, 1999, 10,499 redeemable units ofLimited Partnership Interest ("RedeemableUnits") and 106 Unit equivalents representing the generalpartner's contribution were sold at $1,000 per Redeemable Unit.The proceeds of the offering were held in an escrow account until June10, 1999, at which time they were turned over to the Partnership fortrading. The Partnership continues to offer Redeemable Units.

Citigroup Managed Futures LLC a Delaware limited liability company,is the Partnership's general partner and commodity pool operator("the General Partner"). ThePartnership's commodity broker is Citigroup Global Markets Inc.("CGM"). CGM is an affiliate of the GeneralPartner. The General Partner is wholly owned by Citigroup GlobalMarkets Holdings Inc. ("CGMHI"), which is thesole owner of CGM. CGMHI is a wholly-owned subsidiary of Citigroup Inc.("Citigroup"). As of September 30, 2005, alltrading decisions are made by Willowbridge Associates Inc., WintonCapital Management Limited and AAA Capital Management, Inc.("AAA"), (collectively, the"Advisors"). Willowbridge Associates Inc.trades both the Willowbridge Argo and Willowbridge Vulcan tradingprograms for the Partnership.

The accompanying financialstatements are unaudited but, in the opinion of management, include alladjustments, consisting only of normal recurring adjustments, necessaryfor a fair presentation of the Partnership's financial conditionat September 30, 2005 and December 31, 2004 and the results of itsoperations and cash flows for the three and nine months ended September30, 2005 and 2004. These financial statements present the results ofinterim periods and do not include all disclosures normally provided inannual financial statements. You should read these financial statementstogether with the financial statements and notes included in thePartnership's Annual Report on Form 10-K filed with theSecurities and Exchange Commission for the year ended December 31,2004.

Due to the nature of commodity trading, the results ofoperations for the interim periods presented should not be consideredindicative of the results that may be expected for the entireyear.

Certain prior period amounts have been reclassified toconform to current period presentation.

8

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements September 30, 2005(Unaudited)

2.    FinancialHighlights:

Changes in Net Asset Value per Redeemable Unit forthe three and nine months ended September 30, 2005 and 2004 were asfollows:

|                                                        |  |                                |          |                              |  |        |          |         |  |        |          |         |  |        |          |         |  |  |
|--------------------------------------------------------|--|--------------------------------|----------|------------------------------|--|--------|----------|---------|--|--------|----------|---------|--|--------|----------|---------|--|--|
|                                                   |  | ThreeMonths EndedSeptember 30, |          | NineMonths EndedSeptember30, |
|                                                   |  | 2005                           |          | 2004                         |  | 2005   |          | 2004    |
| Netrealized and unrealized gains*                      |  | $                              | 117.57   |                         |  | $      | 117.77   |    |  | $      | 329.25   |    |  | $      | 181.79   |    |
| InterestIncome                                         |  |                           | 0.93     |                         |  |   | 2.27     |    |  |   | 6.30     |    |  |   | 5.66     |    |
| Expenses**                                             |  |                           | (32.97   | )                       |  |   | (20.45   | )  |  |   | (108.69  | )  |  |   | (53.86   | )  |
| Increase for the period                                |  |                           | 85.53    |                         |  |   | 99.59    |    |  |   | 226.86   |    |  |   | 133.59   |    |
| Net Asset Value perRedeemable Unit,beginning of period |  |                           | 1,509.66 |                         |  |   | 1,134.19 |    |  |   | 1,368.33 |    |  |   | 1,100.19 |    |
| Net Asset Value perRedeemable Unit,end of period       |  | $                              | 1,595.19 |                         |  | $      | 1,233.78 |    |  | $      | 1,595.19 |    |  | $      | 1,233.78 |    |
|                                                        |

|   |                                            |
|---|--------------------------------------------|
| * | Includes Partnershipbrokerage commissions. |

|    |                                |
|----|--------------------------------|
| ** | Excludes brokeragecommissions. |

|                                             |  |        |        |         |  |        |        |         |  |        |        |         |  |        |        |         |  |  |
|---------------------------------------------|--|--------|--------|---------|--|--------|--------|---------|--|--------|--------|---------|--|--------|--------|---------|--|--|
| Ratiosto average net assets:***             |  |   |   |    |  |   |   |    |  |   |   |    |  |   |   |    |
| Net investment lossbefore incentivefees**** |  |   | (5.0)  | %  |  |   | (4.2)  | %  |  |   | (4.7)  | %  |  |   | (4.1)  | %  |
| Operatingexpense                            |  |   | 5.3    | %  |  |   | 4.9    | %  |  |   | 5.3    | %  |  |   | 4.8    | %  |
| Incentivefees                               |  |   | 1.5    | %  |  |   | 1.1    | %  |  |   | 5.6    | %  |  |   | 2.7    | %  |
| Total expenses                              |  |   | 6.8    | %  |  |   | 6.0    | %  |  |   | 10.9   | %  |  |   | 7.5    | %  |
| Total return:                               |  |   |   |    |  |   |   |    |  |   |   |    |  |   |   |    |
| Total returnbefore incentive fees           |  |   | 7.1    | %  |  |   | 9.9    | %  |  |   | 22.1   | %  |  |   | 14.9   | %  |
| Incentivefees                               |  |   | (1.4)  | %  |  |   | (1.1)  | %  |  |   | (5.5)  | %  |  |   | (2.8)  | %  |
| Total return after incentive fees           |  |   | 5.7    | %  |  |   | 8.8    | %  |  |   | 16.6   | %  |  |   | 12.1   | %  |
|                                             |

|     |                                      |
|-----|--------------------------------------|
| *** | Annualized(other than incentivefees) |

|      |                                                                  |
|------|------------------------------------------------------------------|
| **** | Interest income lesstotal expenses (exclusive of incentive fees) |

|  |                                                                                                                                                                                                                                                                   |
|--|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|  | The aboveratios may vary for individual investors based on the timing of capitaltransactions during the year. Additionally, these ratios are calculatedfor the Limited Partner class using the Limited Partners' shareof income, expenses and average net assets. |

3.    TradingActivities:

The Partnership was formed for the purpose oftrading contracts in a variety of commodity interests, includingderivative financial instruments and derivative commodity instruments.The results of the Partnership's trading activities are shown inthe Statements of Income and Expenses and Partners' Capital andare discussed in Item 2, Management's Discussion and Analysis ofFinancial Condition and Results of Operations.

The CustomerAgreement between the Partnership and CGM gives the Partnership thelegal right to net unrealized gains and losses on open futurespositions.

9

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements September 30, 2005(Unaudited)

All of the commodity interests owned bythe Partnership are held for trading purposes. The average fair valuesof these interests during the nine and twelve months ended September30, 2005 and December 31, 2004, based on a monthly calculation, were$2,575,788 and $4,419,977, respectively. The fair values of thesecommodity interests, including options and swaps thereon, ifapplicable, at September 30, 2005 and December 31, 2004 were $547,903and $2,612,228, respectively. Fair values for exchange traded commodityfutures and options are based on quoted market prices for those futuresand options. Fair values for all other financial instruments for whichmarket quotations are not readily available are based on calculationsapproved by the General Partner.

4.    Investment inPartnerships:

Effective September 1, 2001, the Partnershipallocated the portion of the Partnership's capital that wasallocated to AAA for trading to the SB AAA Master Fund LLC, a New YorkLimited Liability Company ("AAA Master").With this cash, the Partnership purchased 5,173.4381 Units of AAAMaster at a fair value of $5,173,438. AAA Master was formed in order topermit accounts managed now or in the future by AAA using the Energywith Swaps Program, to invest together in one trading vehicle. TheGeneral Partner is the managing member of AAA Master. Individual andpooled accounts currently managed by AAA, including the Partnership,are permitted to be non-managing members of AAA Master. The GeneralPartner and AAA believe that trading through this master/feederstructure should promote efficiency and economy in the trading process.Expenses to investors as a result of the investment in AAA Master areapproximately the same and redemption rights are not affected.

On November 1, 2004, the cash allocated to Winton for trading wasallocated to the CMF Winton Master Fund L.P. ("WintonMaster"), a limited partnership organized under thepartnership laws of the State of New York. The Partnership purchased35,389.8399 Units of Winton Master with cash equal to $33,594,083 and acontribution of open commodity futures and forward positions with afair value of $1,795,757. Winton Master was formed in order to permitaccounts managed now or in the future by Winton using the DiversifiedProgram, to invest together in one trading vehicle. The General Partnerof the Partnership is the General Partner of Winton Master. Individualand pooled accounts currently managed by Winton, including thePartnership are permitted to be limited partners of Winton Master. TheGeneral Partner and Winton believe that trading through thismaster/feeder structure should promote efficiency and economy in thetrading process. Expenses to investors as a result of investment inWinton Master are approximately the same and redemption rights are notaffected.

On July 1, 2005, the cash allocated to WillowbridgeArgo for trading was allocated to the CMF Willowbridge Master Fund L.P.("Willowbridge Master"), a limitedpartnership organized under the partnership laws of the State of NewYork. The Partnership purchased 33,529.1186 Units of WillowbridgeMaster with cash equal to $29,866,194 and a contribution of opencommodity futures and forward positions with a fair vale of $3,662,925.Willowbridge Master was formed in order to permit accounts managed nowor in the future by Willowbridge using the Argo Program, to investtogether in one trading vehicle. The General Partner of the Partnershipis the General Partner of Willowbridge Master. Individual and pooledaccounts currently managed by Willowbridge, including the Partnershipare permitted to be limited partners of Willowbridge Master. TheGeneral Partner and Willowbridge believe that trading through thismaster/feeder structure should promote efficiency and economy in thetrading process. Expenses to investors as a result of investment inWillowbridge Master are approximately the same and redemption rightsare not affected.

AAA Master's, Willowbridge Master'sand Winton Master's commodity broker is Citigroup Global MarketsInc. ("CGM"). CGM is an affiliate of theManaging Member/General Partner. The Managing Member/General Partner iswholly owned by Citigroup Global Markets Holdings Inc.("CGMHI"), which is the sole owner of CGM.CGMHI is a wholly owned subsidiary of Citigroup Inc.("Citigroup").

10

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements September 30, 2005(Unaudited)

AAA Master's, WillowbridgeMaster's and Winton Master's trading of futures, forwardsand options contracts, if applicable, on commodities is done primarilyon United States of America commodity exchanges and foreign commodityexchanges. Both engage in such trading through commodity brokerageaccounts maintained with CGM.

A non-managing member/limitedpartner may withdraw all or part of their capital contribution andundistributed profits, if any, from AAA Master, Willowbridge Master orWinton Master in multiples of the net asset value per unit of limitedpartnership interest as of the last day of a month after a request forredemption has been made to the Managing Member/General Partner atleast 3 days in advance of month-end.

All exchange, clearing,user, give-up, floor brokerage and National Futures Association feesare borne by AAA Master, Willowbridge Master and Winton Master. Allother fees including CGM's direct brokerage commission shall beborne by the Feeder Funds.

At September 30, 2005 and December 31,2004 the Partnership owns 8.3% and 13.7%, respectively ofAAA Master. At September 30, 2005 the Partnership owns 23.3% ofWillowbridge Master. At September 30, 2005 and December 31, 2004 thePartnership owns 28.0% and 33.4%, respectively of WintonMaster. It is AAA's, Willowbridge's and Winton'sintention to continue to invest the assets allocated to each by thePartnership in AAA Master, Willowbridge Master and Winton Master,respectively. The performance of the Partnership is directly affectedby the performance of AAA Master, Willowbridge Master and WintonMaster.

Summarized information reflecting the total assets,liabilities and capital for the Master Funds are shown in the followingtable.

|                     |  |                   |               |                  |  |               |             |        |  |        |               |        |  |  |
|---------------------|--|-------------------|---------------|------------------|--|---------------|-------------|--------|--|--------|---------------|--------|--|--|
|                |  | September30, 2005 |
|                |  | Investments'      |               | Investments'     |  | Investments'  |
|                |  | Total Assets      |               | TotalLiabilities |  | Total Capital |
| AAA Master          |  | $                 | 1,262,737,683 |             |  | $             | 500,238,115 |   |  | $      | 762,499,568   |   |
| Willowbridge Master |  |              | 167,925,751   |             |  |          | 367,651     |   |  |   | 167,558,100   |   |
| Winton Master       |  |              | 178,028,295   |             |  |          | 473,861     |   |  |   | 177,554,434   |   |
| Total               |  | $                 | 1,608,691,729 |             |  | $             | 501,079,627 |   |  | $      | 1,107,612,102 |   |
|                |  |              |          |             |  |          |        |   |  |   |          |   |
|                     |

|               |  |                  |             |                  |  |               |             |        |  |        |             |        |  |  |
|---------------|--|------------------|-------------|------------------|--|---------------|-------------|--------|--|--------|-------------|--------|--|--|
|          |  | December31, 2004 |
|          |  | Investments'     |             | Investments'     |  | Investments'  |
|          |  | Total Assets     |             | TotalLiabilities |  | Total Capital |
| AAA Master    |  | $                | 483,402,990 |             |  | $             | 146,907,455 |   |  | $      | 336,495,535 |   |
| Winton Master |  |             | 116,230,069 |             |  |          | 1,104,740   |   |  |   | 115,125,329 |   |
| Total         |  | $                | 599,633,059 |             |  | $             | 148,012,195 |   |  | $      | 451,620,864 |   |
|               |

11

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements September 30, 2005(Unaudited)

Summarized information reflecting thePartnership's investments in, and the operations of, the AAAMaster, Willowbridge Master and the Winton Master are as shown in thefollowing table.

|                    |  |                              |        |                                              |  |              |             |          |  |                  |            |                     |  |                     |         |        |  |        |        |        |  |        |            |         |  |                    |  |        |         |        |  |  |  |  |
|--------------------|--|------------------------------|--------|----------------------------------------------|--|--------------|-------------|----------|--|------------------|------------|---------------------|--|---------------------|---------|--------|--|--------|--------|--------|--|--------|------------|---------|--|--------------------|--|--------|---------|--------|--|--|--|--|
|               |  | September30, 2005            |        | For the three months ended September 30,2005 |  |         |             |     |
| Investment         |  | %of Partnership's Net Assets |        | FairValue                                    |  | Income(Loss) |             | Expenses |  | Net Income(loss) |            | InvestmentObjective |  | RedemptionPermitted |
| Commissions        |  | Other                        |        |
| AAAMaster          |  |                         | 39.87  | %                                       |  | $            | 63,656,438  |     |  | $                | 12,214,350 |                |  | $                   | 317,099 |   |  | $      | 8,906  |   |  | $      | 11,888,345 |    |  | EnergyMarkets      |  |   | Monthly |   |
| WillowbridgeMaster |  |                         | 24.42  | %                                       |  |         | 38,990,355  |     |  |             | 1,620,275  |                |  |                | 44,814  |   |  |   | 3,275  |   |  |   | 1,572,186  |    |  | CommodityPortfolio |  |   | Monthly |   |
| WintonMaster       |  |                         | 31.13  | %                                       |  |         | 49,686,944  |     |  |             | (321,949   | )              |  |                | 105,671 |   |  |   | 4,916  |   |  |   | (432,536   | )  |  | CommodityPortfolio |  |   | Monthly |   |
| Total              |  |                         |   |                                         |  | $            | 152,333,737 |     |  | $                | 13,512,676 |                |  | $                   | 467,584 |   |  | $      | 17,097 |   |  | $      | 13,027,995 |    |  |               |  |   |    |   |
|                    |

|                    |  |                              |        |                                             |  |              |             |          |  |                  |            |                     |  |                     |           |        |  |        |        |        |  |        |            |        |  |                    |  |        |         |        |  |  |  |  |
|--------------------|--|------------------------------|--------|---------------------------------------------|--|--------------|-------------|----------|--|------------------|------------|---------------------|--|---------------------|-----------|--------|--|--------|--------|--------|--|--------|------------|--------|--|--------------------|--|--------|---------|--------|--|--|--|--|
|               |  | September30, 2005            |        | For the nine months ended September 30,2005 |  |         |             |     |
| Investment         |  | %of Partnership's Net Assets |        | FairValue                                   |  | Income(Loss) |             | Expenses |  | Net Income(loss) |            | InvestmentObjective |  | RedemptionPermitted |
| Commissions        |  | Other                        |        |
| AAAMaster          |  |                         | 39.87  | %                                      |  | $            | 63,656,438  |     |  | $                | 36,616,847 |                |  | $                   | 957,089   |   |  | $      | 21,744 |   |  | $      | 35,638,014 |   |  | EnergyMarkets      |  |   | Monthly |   |
| WillowbridgeMaster |  |                         | 24.42  | %                                      |  |         | 38,990,355  |     |  |             | 1,620,275  |                |  |                | 44,814    |   |  |   | 3,275  |   |  |   | 1,572,186  |   |  | CommodityPortfolio |  |   | Monthly |   |
| WintonMaster       |  |                         | 31.13  | %                                      |  |         | 49,686,944  |     |  |             | 5,976,618  |                |  |                | 243,303   |   |  |   | 15,327 |   |  |   | 5,717,988  |   |  | CommodityPortfolio |  |   | Monthly |   |
| Total              |  |                         |   |                                        |  | $            | 152,333,737 |     |  | $                | 44,213,740 |                |  | $                   | 1,245,206 |   |  | $      | 40,346 |   |  | $      | 42,928,188 |   |  |               |  |   |    |   |
|                    |

|              |  |                              |        |                                              |  |              |            |          |  |                  |            |                     |  |                     |         |        |  |        |         |        |  |        |           |        |  |                    |  |        |         |        |  |  |  |  |
|--------------|--|------------------------------|--------|----------------------------------------------|--|--------------|------------|----------|--|------------------|------------|---------------------|--|---------------------|---------|--------|--|--------|---------|--------|--|--------|-----------|--------|--|--------------------|--|--------|---------|--------|--|--|--|--|
|         |  | December31, 2004             |        | For the three months ended September 30,2004 |  |         |            |     |
| Investment   |  | %of Partnership's Net Assets |        | FairValue                                    |  | Income(Loss) |            | Expenses |  | Net Income(loss) |            | InvestmentObjective |  | RedemptionPermitted |
| Commissions  |  | Other                        |        |
| AAAMaster    |  |                         | 38.91  | %                                       |  | $            | 46,220,533 |     |  | $                | 10,423,868 |                |  | $                   | 492,983 |   |  | $      | 2,411   |   |  | $      | 9,928,474 |   |  | EnergyMarkets      |  |   | Monthly |   |
| WintonMaster |  |                         | 32.26  | %                                       |  |         | 38,322,249 |     |  |             | —    |                |  |                | — |   |  |   | — |   |  |   | —   |   |  | CommodityPortfolio |  |   | Monthly |   |
| Total        |  |                         |   |                                         |  | $            | 84,542,782 |     |  | $                | 10,423,868 |                |  | $                   | 492,983 |   |  | $      | 2,411   |   |  | $      | 9,928,474 |   |  |               |  |   |    |   |
|              |

|              |  |                              |        |                                             |  |              |            |          |  |                  |            |                     |  |                     |           |        |  |        |         |        |  |        |            |        |  |                    |  |        |         |        |  |  |  |  |
|--------------|--|------------------------------|--------|---------------------------------------------|--|--------------|------------|----------|--|------------------|------------|---------------------|--|---------------------|-----------|--------|--|--------|---------|--------|--|--------|------------|--------|--|--------------------|--|--------|---------|--------|--|--|--|--|
|         |  | December31, 2004             |        | For the nine months ended September 30,2004 |  |         |            |     |
| Investment   |  | %of Partnership's Net Assets |        | FairValue                                   |  | Income(Loss) |            | Expenses |  | Net Income(loss) |            | InvestmentObjective |  | RedemptionPermitted |
| Commissions  |  | Other                        |        |
| AAAMaster    |  |                         | 38.91  | %                                      |  | $            | 46,220,533 |     |  | $                | 15,605,065 |                |  | $                   | 1,130,907 |   |  | $      | 6,354   |   |  | $      | 14,467,804 |   |  | EnergyMarkets      |  |   | Monthly |   |
| WintonMaster |  |                         | 32.26  | %                                      |  |         | 38,322,249 |     |  |             | —    |                |  |                | —   |   |  |   | — |   |  |   | —    |   |  | CommodityPortfolio |  |   | Monthly |   |
| Total        |  |                         |   |                                        |  | $            | 84,542,782 |     |  | $                | 15,605,065 |                |  | $                   | 1,130,907 |   |  | $      | 6,354   |   |  | $      | 14,467,804 |   |  |               |  |   |    |   |
|              |

5.    FinancialInstrument Risks:

In the normal course of its business, thePartnership is party to financial instruments with off-balance sheetrisk, including derivative financial instruments and derivativecommodity instruments. These financial instruments may includeforwards, futures, options and swaps, whose values are based upon an

12

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements September 30, 2005(Unaudited)

underlying asset, index, or reference rate,and generally represent future commitments to exchange currencies orcash flows, or to purchase or sell other financial instruments atspecific terms at specified future dates, or, in the case of derivativecommodity instruments to have a reasonable possibility to be settled incash, through physical delivery or with another financial instrument.These instruments may be traded on an exchange or over-the-counter("OTC"). Exchange traded instruments arestandardized and include futures and certain option contracts. OTCcontracts are negotiated between contracting parties and includeforwards and certain options. Each of these instruments is subject tovarious risks similar to those related to the underlying financialinstruments including market and credit risk. In general, the risksassociated with OTC contracts are greater than those associated withexchange traded instruments because of the greater risk of default bythe counterparty to an OTC contract.

Market risk is thepotential for changes in the value of the financial instruments tradedby the Partnership due to market changes, including interest andforeign exchange rate movements and fluctuations in commodity orsecurity prices. Market risk is directly impacted by the volatility andliquidity in the markets in which the related underlying assets aretraded.

Credit risk is the possibility that a loss may occur dueto the failure of a counterparty to perform according to the terms of acontract. Credit risk with respect to exchange-traded instruments isreduced to the extent that an exchange or clearing organization acts asa counterparty to the transactions. The Partnership's risk ofloss in the event of counterparty default is typically limited to theamounts recognized as unrealized appreciation in the statements offinancial condition and not represented by the contract or notionalamounts of the instruments. The Partnership has concentration riskbecause the sole counterparty or broker with respect to thePartnership's assets is CGM.

The General Partner monitorsand controls the Partnership's risk exposure on a daily basisthrough financial, credit and risk management monitoring systems, andaccordingly believes that it has effective procedures for evaluatingand limiting the credit and market risks to which the Partnership issubject. These monitoring systems allow the General Partner tostatistically analyze actual trading results with risk-adjustedperformance indicators and correlation statistics. In addition, on-linemonitoring systems provide account analysis of futures, forwards andoptions positions by sector, margin requirements, gain and losstransactions and collateral positions.

The majority of theseinstruments mature within one year of September 30, 2005. However, dueto the nature of the Partnership's business, these instrumentsmay not be held to maturity.

13

----

Item2.    Management's Discussion and Analysis of FinancialCondition and Results of Operations.

Liquidity and CapitalResources

The Partnership does not engage in the sale of goodsor services. The Partnership's only assets are its equity in itscommodity futures trading account consisting of cash, investment inPartnerships, net unrealized appreciation on open futures and forwardcontracts, commodity options, if applicable, and interest receivable.Because of the low margin deposits normally required in commodityfutures trading, relatively small price movements may result insubstantial losses to the Partnership. While substantial losses couldlead to a decrease in liquidity, no such losses occurred in the thirdquarter of 2005.

The Partnership's capital consists of thecapital contributions of the partners as increased or decreased byrealized and/or unrealized gains or losses on commodity futurestrading, expenses, interest income, redemptions of Redeemable Units anddistributions of profits, if any.

For the nine months endedSeptember 30, 2005, Partnership capital increased 34.4% from$118,783,824 to $159,643,706. This increase was attributable to netincome from operations of $21,509,037 coupled with additional sales of22,630.8331 Redeemable Units of Limited Partnership totaling$33,149,000, which was partially offset by the redemption of 9,361.9776Redeemable Units resulting in an outflow of $13,798,155. Futureredemptions can impact the amount of funds available for investment inthe Partnership in subsequent periods.

Critical AccountingPolicies

The preparation of financial statements in conformitywith accounting principles generally accepted in the United States ofAmerica requires management to make estimates and assumptions thataffect the reported amounts of assets and liabilities, and disclosuresof contingent assets and liabilities at the date of the financialstatements and the reported amounts of revenues and expenses during thereporting period. Actual results could differ from these estimates.

All commodity interests (including derivative financial instrumentsand derivative commodity instruments) are used for trading purposes.The commodity interests are recorded on trade date and open contractsare recorded in the statement of financial condition at fair value onthe last business day of the period, which represents market value forthose commodity interests for which market quotations are readilyavailable or other measures of fair value deemed appropriate bymanagement of the General Partner for those commodity interests andforeign currencies for which market quotations are not readilyavailable, including dealer quotes for swaps and certain optioncontracts. Investments in commodity interests denominated in foreigncurrencies are translated into U.S. dollars at the exchange ratesprevailing on the last business day of the period. Realized gains(losses) and changes in unrealized values on commodity interests andforeign currencies are recognized in the period in which the contractis closed or the changes occur and are included in net gains (losses)on trading of commodity interests. The investment in AAA Master,Willowbridge Master and Winton Master are recorded at fair value, basedupon the Partnership's proportionate interest held.

Foreign currency contracts are those contracts where the Partnershipagrees to receive or deliver a fixed quantity of foreign currency foran agreed-upon price on an agreed future date. Foreign currencycontracts are valued daily, and the Partnership's net equitytherein, representing unrealized gain or loss on the contracts asmeasured by the difference between the forward foreign exchange ratesat the dates of entry into the contracts and the forward rates at thereporting dates, is included in the statement of financial condition.Realized gains (losses) and changes in unrealized values on foreigncurrency contracts are recognized in the period in which the contractis closed or the changes occur and are included in the statements ofincome and expenses and partners' capital.

Results ofOperations

During the Partnership's third quarter of2005, the net asset value per Redeemable Unit increased 5.7%from $1,509.66 to $1,595.19 as compared to an increase of 8.8%in the third quarter of 2004. The Partnership experienced a net tradinggain before brokerage commissions and related fees in the third

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quarter of 2005 of $12,519,744. Gains wereprimarily attributable to the Partnership's trading of commodityfutures in energy, grains, metals and indices, and were partiallyoffset by losses in currencies, U.S. and non-U.S. interest rates,livestock, lumber and softs. The Partnership experienced a net tradingloss before brokerage commissions and related fees in the third quarterof 2004 of $10,992,375. Gains were primarily attributable to thePartnership's trading of commodity futures in currencies, metals,grains, softs, indices and U.S. and non-U.S. interest rates and werepartially offset by losses in energy and livestock.

Third Quarterresults reflect robust trends and profitable trading in the energy andstock index markets. Reducing these gains were smaller losses in theinterest rate and currency markets as a result of volatile priceaction. Periodic trading opportunities in metals and grains generatedadditional gains for the partnership. The overall net result wasstrongly positive for the quarter.

The most profitable trendsfor the quarter were in the energy markets as crude oil and natural gasprices rose to historic levels. Substantial profits were made intrading these markets which saw recent trends exacerbated by the impactof the two Gulf Coast hurricanes. The two storms caused a virtualshut-down of both production and refining facilities.

Interestrate markets, however, experienced reversing trends in U.S., Europeanand Australian fixed income instruments as yields began to riseprompted by U.S. central bank rate increases. This volatility continuedthrough the remainder of the quarter and led to the greatest sectorloss for the partnership.

Prospects of improving economicconditions in Japan led to strong profits in Nikkei stock index tradingand combined with solid second quarter corporate profits led to profitsin U.S. stock index trading as well. Offsetting profitable stock indextrading were losses in foreign currency trading. The most notable eventin this markets was the Chinese government decision to unpeg the yuanfrom the U.S. dollar and its consequent upward revaluation. This led tonear continuous adjustments in the relation of the major currenciesthroughout the quarter and range-bound trading in the U.S. dollar.While other commodity markets produced lackluster price trends,precious metals, particularly gold rose to over $400 an ounce, itshighest level in 15 years and produced additional profits for thepartnership's advisors.

During the nine months endedSeptember 30, 2005, the net asset value per Redeemable Unit increased16.6% from $1,368.33 to $1,595.19 as compared to an increase of12.1% during the nine months ended September 30, 2004. ThePartnership experienced a net trading gain before brokerage commissionsand related fees in the nine months ended September 30, 2005 of$33,801,631. Gains were primarily attributable to thePartnership's trading of commodity futures in energy, indices andlumber and were partially offset by losses in currencies, grains, U.S.and non-U.S. interest rates, livestock, metals and softs. ThePartnership experienced a net trading gain before brokerage commissionsand related fees in the nine months ended September 30, 2004 of$17,293,087. Gains were primarily attributable to thePartnership's trading of commodity futures in energy, grains,livestock, indices and lumber and were partially offset by losses incurrencies, U.S. and non-U.S. interest rates, metals and softs.

Commodity futures markets are highly volatile. The potential forbroad and rapid price fluctuations increases the risks involved incommodity trading, but also increases the possibility of profit. Theprofitability of the Partnership depends on the existence of majorprice trends and the ability of the Advisors to correctly identifythose price trends. Price trends are influenced by, among other things,changing supply and demand relationships, weather, governmental,agricultural, commercial and trade programs and policies, national andinternational political and economic events and changes in interestrates. To the extent that market trends exist and the Advisors are ableto identify them, the Partnership expects to increase capital throughoperations. AAA is aware of price trends but does not trade upontrends. AAA often makes profits in positions with specific trends eventhough that trend may still be intact or perhaps even stronger. AAAoccasionally establishes positions that are counter-trend.

Interest income is earned on 100% of the Partnership'saverage daily equity maintained in cash in its account during eachmonth at a 30-day U.S. Treasury bill rate determined weekly by CGMbased on the average non-competitive yield on 3-month U.S. Treasurybills maturing in 30 days from the date on which such weekly rate isdetermined. CGM may continue to maintain the Partnership's assetsin cash and/or place all of the Partnership's assets in 90-dayTreasury bills and pay the Partnership 100% of the interestearned on Treasury bills purchased. Interest income for the three andnine months ended September 30, 

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2005 decreased and increased by $108,591 and$100,337 as compared to the corresponding periods in 2004. The increasein interest income is primarily due to higher net assets and higherinterest rates in the nine months ended September 30, 2005 as comparedto the corresponding periods in 2004.

Brokerage commissions arebased on the number of trades executed by the Advisors. Brokeragecommissions and fees for the three and nine months ended September 30,2005 increased by $378,713 and $1,012,694, as compared to thecorresponding period in 2004. The increase in commissions and fees isprimarily due to an increase in the number of trades during the threeand nine months ended September 30, 2005 as compared to thecorresponding periods in 2004.

Management fees are calculated asa percentage of the Partnership's net asset value as of the endof each month and are affected by trading performance, additions andredemptions. Management fees for the three and nine months endedSeptember 30, 2005 increased by $226,146 and $529,179, as compared tothe corresponding period in 2004. The increase of management fees isdue to an increase in net assets during the three and nine months endedSeptember 30, 2005 as compared to the corresponding periods in2004.

Administrative fees are paid to the General Partner foradministering the business and affairs of the Partnership. These feesare calculated as a percentage of the Partnership's net assetvalue as of the end of each month and are affected by tradingperformance and redemptions. Administrative fees for the three and ninemonths ended September 30, 2005 increased by $62,543 and $145,528, ascompared to the corresponding periods in 2004. The increase inadministrative fees is due to an increase in net assets during thethree and nine months ended September 30, 2005 as compared to thecorresponding periods in 2004.

Incentive fees paid by thePartnership are based on the new trading profits generated by eachAdvisor at the end of the quarter, as defined in the managementagreements between the Partnership, the General Partner and eachAdvisor. Trading performance for the three and nine months endedSeptember 30, 2005 resulted in incentive fees of $2,219,153 and$7,548,870, respectively. Trading performance for the three and ninemonths ended September 30, 2004 resulted in incentive fees of$1,109,973 and $2,689,036 respectively.

Item3.    Quantitative and Qualitative Disclosures about Market Risk

The Partnership is a speculative commodity pool. The marketsensitive instruments held by it are acquired for speculative tradingpurposes, and all or substantially all of the Partnership'sassets are subject to the risk of trading loss. Unlike an operatingcompany, the risk of market sensitive instruments is integral, notincidental, to the Partnership's main line of business.

Market movements result in frequent changes in the fair value of thePartnership's open positions and, consequently, in its earningsand cash flow. The Partnership's market risk is influenced by awide variety of factors, including the level and volatility of interestrates, exchange rates, equity price levels, the value of financialinstruments and contracts, the diversification effects of thePartnership's open positions and the liquidity of the markets inwhich it trades.

The Partnership rapidly acquires and liquidatesboth long and short positions in a range of different markets.Consequently, it is not possible to predict how a particular futuremarket scenario will affect performance, and the Partnership'spast performance is not necessarily indicative of its futureresults.

Value at Risk is a measure of the maximum amount whichthe Partnership could reasonably be expected to lose in a given marketsector. However, the inherent uncertainty of the Partnership'sspeculative trading and the recurrence in the markets traded by thePartnership of market movements far exceeding expectations could resultin actual trading or non-trading losses far beyond the indicated Valueat Risk or the Partnership's experience to date (i.e.,"risk of ruin"). In light of the foregoing,as well as the risks and uncertainties intrinsic to all futureprojections, the inclusion of the quantification in this section shouldnot be considered to constitute any assurance or representation thatthe Partnership's losses in any market sector will be limited toValue at Risk or by the Partnership's attempts to manage itsmarket risk.

Exchange maintenance margin requirements have beenused by the Partnership as the measure of its Value at Risk.Maintenance margin requirements are set by exchanges to equal or exceedthe maximum 

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losses reasonably expected to be incurred inthe fair value of any given contract in 95%-99% of anyone-day interval. Maintenance margin has been used rather than the moregenerally available initial margin, because initial margin includes acredit risk component, which is not relevant to Value at Risk.

The following table indicates the trading Value at Risk associatedwith the Partnership's open positions by market category as ofSeptember 30, 2005 and the highest, lowest and average value during thethree months ended September 30, 2005. All open position trading riskexposures of the Partnership have been included in calculating thefigures set forth below. As of September 30, 2005, thePartnership's total capitalization was $159,643,706. There hasbeen no material change in the trading Value at Risk informationpreviously disclosed in the Partnership's Annual Report on Form10-K for the year ended December 31, 2004.

September 30,2005

|                                  |  |               |           |                         |  |                                     |        |                  |  |                      |         |        |  |        |         |        |  |        |         |        |  |  |
|----------------------------------|--|---------------|-----------|-------------------------|--|-------------------------------------|--------|------------------|--|----------------------|---------|--------|--|--------|---------|--------|--|--------|---------|--------|--|--|
|                             |  |          |           |                    |  | ThreeMonths Ended September 30,2005 |
| MarketSector                     |  | Value at Risk |           | % ofTotalCapitalization |  | High Value atRisk                   |        | LowValue at Risk |  | Average ValueatRisk* |
| Currencies:                      |  |          |      |                    |  |                                |   |             |  |                 |    |   |  |   |    |   |  |   |    |   |
| –Exchange Traded Contracts |  | $             | 175,937   |                    |  |                                | 0.11   | %           |  | $                    | 508,800 |   |  | $      | 28,305  |   |  | $      | 82,814  |   |
| Energy                           |  |          | 510,000   |                    |  |                                | 0.32   | %           |  |                 | 910,500 |   |  |   | 76,500  |   |  |   | 538,667 |   |
| Grains                           |  |          | 35,275    |                    |  |                                | 0.02   | %           |  |                 | 166,600 |   |  |   | 35,275  |   |  |   | 50,575  |   |
| Interest Rates U.S.              |  |          | —   |                    |  |                                | 0.00   | %           |  |                 | 178,500 |   |  |   | — |   |  |   | 91,233  |   |
| Interest RatesNon-U.S.           |  |          | 92,334    |                    |  |                                | 0.06   | %           |  |                 | 440,492 |   |  |   | 30,659  |   |  |   | 110,685 |   |
| Livestock                        |  |          | 20,800    |                    |  |                                | 0.01   | %           |  |                 | 27,200  |   |  |   | 13,600  |   |  |   | 20,800  |   |
| Metals                           |  |          |      |                    |  |                                |   |             |  |                 |    |   |  |   |    |   |  |   |    |   |
| –Exchange Traded Contracts |  |          | 153,000   |                    |  |                                | 0.10   | %           |  |                 | 238,000 |   |  |   | 34,000  |   |  |   | 175,667 |   |
| Softs                            |  |          | 42,000    |                    |  |                                | 0.03   | %           |  |                 | 134,300 |   |  |   | 17,000  |   |  |   | 41,767  |   |
| Totals                           |  | $             | 1,029,346 |                    |  |                                | 0.65   | %           |  |                 |    |   |  |   |    |   |  |   |    |   |
|                                  |

|   |                                 |
|---|---------------------------------|
| * | Averagemonth-end Values at Risk |

Item 4.    Controls andProcedures

The General Partner of the Partnership, with theparticipation of the General Partner's Chief Executive Officerand the Chief Financial Officer, has evaluated the effectiveness of thedesign and operation of its disclosure controls and procedures (asdefined in Rules 13a-15(e) and 15d-15(e) of the Exchange Act) withrespect to the Partnership as of the end of the period covered by thereport, and, based on this evaluation, has concluded that thesedisclosure controls and procedures are effective. Additionally, therewere no significant changes in the Partnership's internalcontrols or in other factors that could significantly affect thesecontrols during the registrant's last fiscal quarter, includingany corrective actions with regard to significant deficiencies andmaterial weaknesses.

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PART II. OTHERINFORMATION

Item 1.    Legal Proceedings

Thefollowing information supplements and amends our discussion set forthunder Item, 3 "Legal Proceedings" in thePartnership's Annual Report on Form 10-K for the year endedDecember 31,2004 and under Part II, Item 1, "LegalProceedings" in the Partnership's Quarterly Reportson Form 10-Q for the quarters ended March 31, 2005 and June 30,2005.

Enron Corp.

On August 4, 2005, a breach ofcontract action was filed in the United States District Court for theSouthern District of New York, WESTPAC BANKING CORPORATION v. CITIBANK,N.A. The complaint alleges that Citibank breached a representation andwarranty in a Credit Default Swap agreement entered into in December2000 concerning Enron.

On August 26, 2005, a group of 15plaintiffs filed an action in the United States District Court for theSouthern District of Texas, AVENUE CAPITAL MANAGEMENT II, L.P., ET AL.v. J.P. MORGAN-CHASE & CO., ET AL. The complaint names asdefendants Citigroup Inc., Citibank, N.A., Citigroup Global MarketsInc., and several J.P. Morgan entities and alleges fraud, breach offiduciary duty and breach of contract arising out of Enron bank debtincurred under two syndicated revolving credit facilities and asyndicated letter of credit facility.

WorldCom, Inc.

InSTURM, ET AL. v. CITIGROUP, ET AL., an NASD arbitration seeking verysignificant compensatory and punitive damages, Claimants' commonlaw claims, including fraud, arising out of alleged research analystconflicts of interest related to SSB research coverage of WorldCom,were heard this quarter.

Citigroup, along with other financialinstitution defendants, entered into a settlement in NEW YORK CITYEMPLOYEES' RETIREMENT SYSTEM v. EBBERS, ET AL., resolving allclaims against the Citigroup-related defendants in thisWorldCom-related action, which was brought by a plaintiff that optedout of the settlement of the WorldCom class action. The settlementamount is covered by existing litigation reserves.

Citigroupalong with other financial institutions and other defendants, enteredinto a settlement resolving all claims against the Citigroup-relateddefendants in 32 individual actions filed by a single law firm onbehalf of 70 institutional plaintiffs that have opted out of theWorldCom class action settlement. Plaintiffs in these actions assertedvarious claims under federal and state law, including, among otherthings, federal and state securities claims, fraud, negligentmisrepresentation and breach of fiduciary duty, in connection with theCitigroup-related defendants' research coverage, and underwritingof WorldCom securities. The settlement amount is covered by existinglitigation reserves.

Global Crossing

On September 12,2005, Citigroup entered into a settlement with the Global CrossingEstate Representative, resolving all claims pending in United StatesBankruptcy Court for the Southern District of New York against theCitigroup-related defendants. The settlement amount is covered byexisting litigation reserves.

Research

On September 27,2005, Citigroup entered into a memorandum of agreement settling allclaims against the Citigroup-related defendants in IN RE SALOMONANALYST AT&T LITIGATION, a putative class action alleging researchanalyst conflicts of interest. The settlement amount is covered byexisting litigation reserves. The settlement is subject to judicialapproval.

On September 22, 2005, Citigroup reached anagreement-in-principle to settle all claims against theCitigroup-related defendants in NORMAN v. SALOMON SMITH BARNEY, ET AL.,a putative class 

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action asserting violations of the InvestmentAdvisers Act of 1940 and various common law claims in connection withcertain investors who maintained guided portfolio management accountsat Smith Barney. The settlement amount is covered by existinglitigation reserves. The settlement is subject to judicialapproval.

On August 17, 2005, in DISHER v. CITIGROUP GLOBALMARKETS INC., the United States Court of Appeals for the SeventhCircuit reversed the district court's grant of plaintiffs'motion to remand the case to state court, and directed the districtcourt to dismiss the case as preempted under the Securities LitigationUniform Standards Act ("SLUSA"). The UnitedStates Supreme Court has granted review in another case involving SLUSAthat may affect the Seventh Circuit's dismissal of the Dishermatter.

Adelphia

In May and July of 2005, the UnitedStates District Court for the Southern District of New York grantedmotions to dismiss several claims, based on the running of applicablestatute of limitations, asserted in the putative class and individualactions being coordinated under IN RE ADELPHIA COMMUNICATIONSCORPORATION SECURITIES AND DERIVATIVE LITIGATION. With the exception ofone individual action that was dismissed with prejudice, the courtgranted the putative class and individual plaintiffs leave to re-pleadcertain of those claims the court found to be time-barred. Additionalmotions to dismiss the class complaint and the remaining individualcomplaints on other grounds remain pending.

IPO SecuritiesLitigation

On June 30, 2005, the United States Court of Appealsfor the Second Circuit entered an order in IN RE INITIAL PUBLICOFFERING SECURITIES LITIGATION agreeing to review the districtcourt's order granting plaintiffs' motion for classcertification.

IPO Antitrust Litigation

On September28, 2005 the United States Court of Appeals for the Second Circuit inIN RE INITIAL PUBLIC OFFERING ANTITRUST LITIGATION vacated the districtcourt's order dismissing these actions and remanded for furtherproceedings.

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Item 2.    Unregistered Salesof Equity Securities and Use of Proceeds

For the threemonths ended September 30, 2005 there were additional sales of8,238.7827 Redeemable Units of Limited Partnership totaling$12,685,000. The Redeemable Units were issued in reliance uponapplicable exemptions from registration under Section  4(2) ofthe Securities Act of 1933, as amended, and Section 506 of Regulation Dpromulgated there under.

Proceeds from the sale ofadditional Redeemable Units are used in the trading of commodityinterests including futures contracts, options, forwards and swapcontracts.

The following chart sets forth the purchases ofRedeemable Units by thePartnership.

|                                            |  |                                               |            |                                                             |  |                                                                                           |          |                                                                                                                     |  |        |     |        |  |        |     |        |  |  |
|--------------------------------------------|--|-----------------------------------------------|------------|-------------------------------------------------------------|--|-------------------------------------------------------------------------------------------|----------|---------------------------------------------------------------------------------------------------------------------|--|--------|-----|--------|--|--------|-----|--------|--|--|
| Period                                     |  | (a)Total Numberof Shares(or Units) Purchased* |            | (b)AveragePrice Paid per   Share (or Unit)** |  | (c)Total Numberof Shares (or Units)Purchased as PartofPublicly AnnouncedPlans or Programs |          | (d) MaximumNumber(or ApproximateDollar Value) of Shares(or Units)thatMay Yet Be Purchased Under thePlans orPrograms |
| July 1, 2005− July 31,2005           |  |                                          | 1,308.4216 |                                                        |  | $                                                                                         | 1,464.24 |                                                                                                                |  |   | N/A |   |  |   | N/A |   |
| August1, 2005 − August 31,2005       |  |                                          | 849.3002   |                                                        |  | $                                                                                         | 1,615.22 |                                                                                                                |  |   | N/A |   |  |   | N/A |   |
| September1, 2005 − September 30,2005 |  |                                          | 759.1939   |                                                        |  | $                                                                                         | 1,595.12 |                                                                                                                |  |   | N/A |   |  |   | N/A |   |
| Total                                      |  |                                          | 2,916.9157 |                                                        |  | $                                                                                         | 1,558.19 |                                                                                                                |  |   | N/A |   |  |   | N/A |   |
|                                            |

|  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
|--|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|  | *Generally, Limited Partners are permitted to redeem their RedeemableUnits as of the end of each month on 10 days' notice to theGeneral Partner. Under certain circumstances, the General Partner cancompel redemption but to date the General Partner has not exercisedthis right. Purchases of Redeemable Units by the Partnership reflectedin the chart above were made in the ordinary course of thePartnership's business in connection with effecting redemptionsfor Limited Partners. |

|  |                                                                                                                                           |
|--|-------------------------------------------------------------------------------------------------------------------------------------------|
|  | ** Redemptions of RedeemableUnits are effected as of the last day of each month at the Net AssetValue per Redeemable Unit as of that day. |

Item3.    Defaults Upon Senior Securities – None

Item 4.    Submission of Matters to a Vote of SecurityHolders – None

Item 5.    Other Information– None

Item 6.    Exhibits

|        |                                                                                                                                                                                                                |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The exhibits required to be filed by Item 601 ofRegulation S-K are incorporated herein by reference to the exhibitindex of the Partnership's Annual Report on Form 10-K for theperiod ended December 31, 2004. |

Exhibit – 31.1– Rule 13a-14(a)/15d-14(a) Certification (Certification ofPresident and Director).

Exhibit – 31.2 –Rule 13a-14(a)/15d-14(a) Certification (Certification of ChiefFinancial Officer and Director).

Exhibit – 32.1– Section 1350 Certification (Certification of President andDirector).

Exhibit – 32.2 – Section 1350Certification (Certification of Chief Financial Officer andDirector).

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934,the registrant has duly caused this report to be signed on its behalfby the undersigned, thereunto duly authorized.

SALOMON SMITH BARNEY ORION FUTURES FUND L.P.

|        |  |                                                              |  |  |  |  |
|--------|--|--------------------------------------------------------------|--|--|--|--|
| By:    |  | CitigroupManaged Futures LLC                                 |
|   |  | (General Partner)                                            |
| By:    |  | /s/David J. Vogel                                            |
|   |  | DavidJ. Vogel President and Director                         |
| Date:  |  | November 9,2005                                              |
| By:    |  | /s/Daniel R. McAuliffe,Jr                                    |
|   |  | Daniel R.McAuliffe, Jr. Chief Financial Officer and Director |
| Date:  |  | November 9,2005                                              |
|        |

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