##### Table of Contents





UNITED STATES
    SECURITIES AND EXCHANGE COMMISSION
    WASHINGTON, D.C. 20549
  FORM 10-Q
  (X) QUARTERLY REPORT PURSUANT TO SECTION 13 OR
    15(d)
  OF THE SECURITIES EXCHANGE ACT OF 1934
  For the quarterly period Ended March 31, 2010
  OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR
    15(d)
  OF THE SECURITIES EXCHANGE ACT OF 1934
  
  0-50271
  ORION FUTURES FUND L.P.
    New York

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

(I.R.S. Employer
    Identification No.)   c/o Ceres
    Managed Futures LLC
    55 East
59th
Street  10th Floor
    New York, New York 10022
    (212) 559-2011
       Yes X  No
    Yes   No
  Rule 12b-2
  Large accelerated filer
    Accelerated filer
    Non-accelerated filer X
    Smaller reporting company   Rule 12b-2
  Yes   No X




---



##### 



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


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

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

4  5Statements of Income and Expenses
    and Changes in Partners Capital for the three months
    ended March 31, 2010 and 2009 (unaudited)

6Notes to Financial Statements (unaudited)

7  20Item 2.


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

21  23Item 3.


Quantitative and Qualitative
    Disclosures about Market Risk

24  26Item 4.


Controls and Procedures

27PART II - Other Information

28  31Exhibits31.1       Certification31.2       Certification32.1       Certification32.2       CertificationEX-31.1EX-31.2EX-32.1EX-32.2  2




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##### Table of Contents



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


December 31,2010


2009Assets:Investment in Partnerships, at fair value

    $
    805,944,655


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

    
    116,692,015



100,683,304Cash margin

    
    12,867,027



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

    
    3,288,448



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

    
    



950,175Options owned, at fair value (cost $463,725 and $0 at March 31, 2010 and December
31, 2009, respectively)

    
    193,860



938,986,005



827,863,372Interest receivable

    
    12,819



1,562Total assets

    $
    938,998,824


$
827,864,934Liabilities and Partners Capital:Liabilities:Net unrealized depreciation on open forward contracts

    $
    72,716


    $
Accrued expenses:Brokerage commissions

    
    2,494,995



1,986,385Management fees

    
    1,402,600



1,254,174Administrative fees

    
    390,144



344,078Other

    
    85,605



93,103Redemptions payable

    
    7,050,724



8,400,640Total liabilities

    
    11,496,784



12,078,380Partners Capital:General
Partner, 3,593.3452 and 2,943.3393 Unit equivalents
    outstanding at March 31, 2010 and December 31, 2009, respectively

    
    9,472,597



7,926,943Limited
Partners, 348,246.8232 and 299,965.0835 Redeemable Units
    of Limited Partnership Interest outstanding at  March 31, 2010
and December 31, 2009,
    respectively

    
    918,029,443



807,859,611Total partners capital

    
    927,502,040



815,786,554Total liabilities and partners capital

    $
    938,998,824


$
827,864,934Net Asset Value per Unit

    $
    2,636.15


$
2,693.18    3




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##### Table of Contents



Orion Futures Fund L.P.Condensed  Schedule of Investments
March 31, 2010
    (Unaudited)
  Number of
    
    
    
    
    
    
    % of Partnerscontracts
    
    
    Fair Value
    
    
    CapitalFutures Contracts PurchasedCurrencies
    
    
    524
    
    
    $
    399,453
    
    
    
    0.04
    %Energy
    
    
    442
    
    
    
    144,881
    
    
    
    0.01Grains
    
    
    282
    
    
    
    (398,428
    )
    
    
    (0.04
    )Interest Rates Non-U.S.
    
    
    590
    
    
    
    106,364
    
    
    
    0.01Livestock
    
    
    20
    
    
    
    3,560
    
    
    
    0.00
    *Metals
    
    
    277
    
    
    
    435,918
    
    
    
    0.05Softs
    
    
    227
    
    
    
    (1,214
    )
    
    
    (0.00
    )*Total futures contracts purchased
    
    
    
    
    
    
    690,534
    
    
    
    0.07Futures Contracts SoldCurrencies
    
    
    262
    
    
    
    315,925
    
    
    
    0.03Energy
    
    
    154
    
    
    
    1,246,030
    
    
    
    0.13Grains
    
    
    448
    
    
    
    582,267
    
    
    
    0.06Interest Rates U.S.
    
    
    393
    
    
    
    (74,531
    )
    
    
    (0.00
    )*Interest Rates Non-U.S.
    
    
    33
    
    
    
    10,594
    
    
    
    0.00
    *Metals
    
    
    425
    
    
    
    (683,700
    )
    
    
    (0.07
    )Softs
    
    
    144
    
    
    
    1,201,329
    
    
    
    0.13Total futures contracts sold
    
    
    
    
    
    
    2,597,914
    
    
    
    0.28Unrealized Appreciation on Open
Forward ContractsMetals
    
    
    1,342
    
    
    
    10,263,670
    
    
    
    1.11Total unrealized appreciation on open forward contracts
    
    
    
    
    
    
    10,263,670
    
    
    
    1.11Unrealized Depreciation on Open
Forward ContractsMetals
    
    
    1,247
    
    
    
    (10,336,386
    )
    
    
    (1.11
    )Total unrealized depreciation on open forward contracts
    
    
    
    
    
    
    (10,336,386
    )
    
    
    (1.11
    )Options
OwnedEnergyPuts
    
    
    60
    
    
    
    193,860
    
    
    
    0.02Total
options owned
    
    
    
    
    
    
    193,860
    
    
    
    0.02Investment in PartnershipsAAA Master Fund LLC
    
    
    
    
    
    
    273,701,614
    
    
    
    29.51CMF Willowbridge Argo Master Fund LP
    
    
    
    
    
    
    152,589,408
    
    
    
    16.45CMF Winton Master LP
    
    
    
    
    
    
    379,653,633
    
    
    
    40.93Total investment in Partnerships
    
    
    
    
    
    
    805,944,655
    
    
    
    86.89Total fair value
    
    
    
    
    
    $
    809,354,247
    
    
    
    87.26
    %
 * Due to rounding   4




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##### Table of Contents



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





% of PartnersContracts


Fair Value


CapitalFutures Contracts PurchasedCurrencies


254


$
419,773



0.05
%Energy


364



129,842



0.02Grains


402



91,185



0.01Interest Rates
    Non-U.S.


127



(21,825
)


(0.00
)*Livestock


84



38,440



0.00
*Metals


222



(140,327
)


(0.02
)Softs


342



560,264



0.07Total futures contracts purchased






1,077,352



0.13Futures Contracts SoldCurrencies


635



1,761,778



0.22Energy


5



10,950



0.00
*Interest Rates U.S.


381



438,625



0.05Interest Rates Non-U.S.


413



61,615



0.01Metals


58



(294,513
)


(0.04
)Total futures contracts sold






1,978,455



0.24Unrealized Appreciation on Open Forward ContractsMetals


287



3,563,843



0.44Total unrealized appreciation on open forward contracts






3,563,843



0.44Unrealized Depreciation on Open Forward ContractsMetals


222



(2,613,668
)


(0.32
)Total unrealized depreciation on open forward contracts






(2,613,668
)


(0.32
)Investment in PartnershipsAAA Master Fund LLC






284,764,800



34.91CMF Willowbridge Argo Master Fund LP






135,945,983



16.66CMF Winton Master LP






293,399,613



35.97Total investment in Partnerships






714,110,396



87.54Total fair value





$
718,116,378



88.03
%  ­
    ­
    5




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##### Table of Contents



Orion Futures Fund L.P.Statements of Income and Expenses and Changes in Partners Capital
(Unaudited)
 Three Months EndedMarch 31,2010
    
    
    2009Income:Net gains
(losses) on trading of commodity interests and investment in
Partnerships:Net realized gains (losses) on closed contracts
    
    $
    (5,450,799
    )
    
    $
    (4,563,984
    )Net realized gains (losses) on investment in Partnerships
    
    
    (24,124,263
    )
    
    
    (4,367,635
    )Change in net unrealized gains (losses) on open contracts
    
    
    (1,060,115
    )
    
    
    99,487Change in net unrealized gains (losses) on investment
in Partnerships
    
    
    21,263,303
    
    
    
    2,744,820Gain (loss) from, trading net
    
    
    (9,371,874
    )
    
    
    (6,087,312
    )Interest income
    
    
    19,766
    
    
    
    19,698Interest income from investment in Partnerships
    
    
    105,278
    
    
    
    141,292Total income
(loss)
    
    
    (9,246,830
    )
    
    
    (5,926,322
    )Expenses:Brokerage
commissions, including clearing fees
    
    
    2,911,184
    
    
    
    1,400,151Management fees
    
    
    3,995,438
    
    
    
    3,073,361Administrative fees
    
    
    1,105,189
    
    
    
    834,223Incentive fees
    
    
    
    
    
    
    3,102,122Other
    
    
    216,107
    
    
    
    123,930Total expenses
    
    
    8,227,918
    
    
    
    8,533,787Net income (loss)
    
    
    (17,474,748
    )
    
    
    (14,460,109
    )Additions  Limited Partner
    
    
    154,179,330
    
    
    
    55,953,000Additions  General Partner
    
    
    1,700,000
    
    
    
    Redemptions  Limited Partners
    
    
    (26,689,096
    )
    
    
    (46,628,007
    )Net increase (decrease) in Partners Capital
    
    
    111,715,486
    
    
    
    (5,135,116
    )Partners Capital, beginning of period
    
    
    815,786,554
    
    
    
    648,886,853Partners Capital, end of period
    
    $
    927,502,040
    
    
    $
    643,751,737Net Asset Value per Unit
(351,840.1684 and 231,910.8707 Units
outstanding at March 31, 2010 and 2009, respectively)
    
    $
    2,636.15
    
    
    $
    2,775.86Net income (loss) per Redeemable Unit of Limited Partnership
Interest and General Partner Unit equivalent
    
    $
    (57.03
    )
    
    $
    (61.07
    )Weighted average units outstanding
    
    
    336,758.0883
    
    
    
    235,784.4842
   6




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##### Table of Contents



Orion Futures Fund L.P.Notes to Financial StatementsMarch 31, 2010
    (Unaudited)
  1.
    General:          Form 10-K
           7




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##### Table of Contents



Orion
    Futures Fund L.P.
    Notes to Financial Statements
March 31, 2010
    (Unaudited)
  2.
    Financial
    Highlights:    Three Months EndedMarch 31,2010
    
    
    2009Net realized and unrealized gains (losses)*
    
    $
    (41.60
    )
    
    $
    (31.46
    )Interest Income
    
    
    0.37
    
    
    
    0.68Expenses **
    
    
    (15.80
    )
    
    
    (30.29
    )Increase (decrease) for the period
    
    
    (57.03
    )
    
    
    (61.07
    )Net Asset Value per Redeemable Unit, beginning of period
    
    
    2,693.18
    
    
    
    2,836.93Net Asset Value per Redeemable Unit, end of period
    
    $
    2,636.15
    
    
    $
    2,775.86
 *
    
    Includes brokerage commissions.**
    
    Excludes brokerage commissions.  Three Months EndedMarch 31,2010
    
    
    2009Ratios to Average Net Assets:***Net investment loss before incentive fees****
    
    
    (3.8
    )%
    
    
    (3.3
    )%Operating expense
    
    
    3.9
    %
    
    
    3.4
    %Incentive fees
    
    
    
    %
    
    
    0.5
    %Total expenses
    
    
    3.9
    %
    
    
    3.9
    %Total return:Total return before incentive fees
    
    
    (2.1
    )%
    
    
    (1.7
    )%Incentive fees
    
    
    
    %
    
    
    (0.5
    )%Total return after incentive fees
    
    
    (2.1
    )%
    
    
    (2.2
    )%   ***
    
    Annualized (other than incentive fees).  ****
    
    Interest income less total expenses.    3.
    Trading
    Activities:   8




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
March 31, 2010
    (Unaudited)
          Assets
    
    March 31, 2010
    
    
    Assets
    
    
    March 31, 2010
    
    
    Assets
    
    

March 31, 2010Futures Contracts
    
    
    
    
    
    Forward Contracts
    
    
    
    
    
    Options OwnedCurrencies
    
    $
    786,877
    
    
    Metals
    
    $
    10,263,670
    
    
    Metals
    
    $
    193,860Energy
    
    
    1,391,844Grains
    
    
    582,537Interest Rates U.S.
    
    
    28,656Interest Rates Non-U.S.
    
    
    120,503Livestock
    
    
    3,560Metals
    
    
    473,243Softs
    
    
    1,213,635Total
unrealized appreciation on 
open futures contracts
    
    $
    4,600,855
    
    
    Total unrealized appreciation
on open forward contracts
    
    $
    10,263,670
    
    
    Total options owned
    
    $
    193,860
    ***Liabilities
    
    
    
    
    
    LiabilitiesFutures Contracts
    
    
    
    
    
    Forward ContractsCurrencies
    
    $
    (71,500
    )
    
    Metals
    
    $
    (10,336,386
    )Energy
    
    
    (932
    )Grains
    
    
    (398,698
    )Interest Rates U.S.
    
    
    (103,187
    )Interest Rates Non-U.S.
    
    
    (3,545
    )Metals
    
    
    (721,025
    )Softs
    
    
    (13,520
    )Total
unrealized depreciation on 
open futures contracts
    
    $
    (1,312,407
    )
    
    Total unrealized
depreciation on open forward contracts
    
    $
    (10,336,386
    )Net
unrealized appreciation on open futures contracts
    
    $
    3,288,448
    *
    
    Net unrealized depreciation 

on open forward contracts
    
    $
    (72,716
    )**
 
 *
    
    This amount is in Net unrealized appreciation on open futures contracts on the
Statements of Financial Condition.**
    
    This amount is in Net unrealized depreciation on open forward contracts on the
Statements of Financial Condition.***
    
    This amount is in Options owned, at fair value on
the
Statements of Financial Condition.  9




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##### Table of Contents



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

$
2,181,550Energy


199,794Grains


110,773Interest Rates U.S.


438,625Interest Rates Non-U.S.


210,400Livestock


38,440Metals


181,742Softs


663,038Total unrealized appreciation on open futures contracts

$
4,024,362LiabilitiesFutures ContractsEnergy

$
(59,002
)Grains


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


(170,609
)Metals


(616,583
)Softs


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

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

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

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

$
3,563,843LiabilitiesForward ContractsMetals

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

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

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




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
March 31, 2010
    (Unaudited)
   Three Month Ended
    
    
    Three Month EndedMarch 31, 2010
    
    
    March 31, 2009Sector
    
    Gain (loss) from trading
    
    
    Gain (loss) from tradingCurrencies
    
    $
    470,724
    
    
    $
    (422,816
    )Energy
    
    
    (3,230,788
    )
    
    
    (958,840
    )Grains
    
    
    (324,613
    )
    
    
    (574,751
    )Interest rates U.S.
    
    
    (1,953,819
    )
    
    
    (1,390,852
    )Interest rates Non-U.S.
    
    
    109,962
    
    
    
    (566,543
    )Metals
    
    
    (3,520,884
    )
    
    
    15,505Softs
    
    
    1,938,924
    
    
    
    (496,450
    )Livestock
    
    
    (420
    )
    
    
    (69,750
    )Total
    
    $
    (6,510,914
    )
    
    $
    (4,464,497
    )
 4.
    Fair
    Value Measurements:  Partnerships and the Funds Investments.
  Partnerships and the Funds Fair Value Measurements.
   11




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
March 31, 2010
    (Unaudited)
    Quoted Prices inActive Markets


Significant Other


Significantfor Identical


Observable Inputs


Unobservable03/31/2010


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsOptions
    
    $
    193,860
    
    
    $
    193,860
    
    
    $
    
    
    
    $
    Futures
    
    
    3,288,448
    
    
    
    3,288,448
    
    
    
    
    
    
    
    Investment in Partnerships
    
    
    805,944,655
    
    
    
    
    
    
    
    805,944,655
    
    
    
    Total assets
    
    $
    809,426,963
    
    
    $
    3,482,308
    
    
    $
    805,944,655
    
    
    $
    LiabilitiesForwards
    
    $
    72,716
    
    
    $
    72,716
    
    
    $
    
    
    
    $
    Total
liabilities
    
    
    72,716
    
    
    
    72,716
    
    
    
    
    
    
    
    Total fair value
    
    $
    809,354,247
    
    
    $
    3,409,592
    
    
    $
    805,944,655
    
    
    $
    Quoted Prices inActive Markets


Significant Other


Significantfor Identical


Observable Inputs


Unobservable12/31/2009


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsForwards

$
950,175


$
950,175


$



$
Futures


3,055,807



3,055,807







Investment in Partnerships


714,110,396







714,110,396



Total assets

$
718,116,378


$
4,005,982


$
714,110,396


$
Total fair value

$
718,116,378


$
4,005,982


$
714,110,396


$
 12




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
March 31, 2010
    (Unaudited)
   5.
    Investment
    in Partnerships:               13




---



##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
    March 31, 2010
    (Unaudited)
    give-up,
      March 31, 2010Total Assets
    
    
    Total Liabilities
    
    
    Total CapitalAAA Master


    
    $
    1,515,072,137
    
    
    $
    435,737,192
    
    
    $
    1,079,334,945Willowbridge Master
    
    
    237,884,635
    
    
    
    27,915
    
    
    
    237,856,720Winton Master
    
    
    689,968,977
    
    
    
    64,924
    
    
    
    689,904,053Total
    
    $
    2,442,925,749
    
    
    $
    435,830,031
    
    
    $
    2,007,095,718
  December 31, 2009Total Assets


Total Liabilities


Total CapitalAAA Master

$
1,632,583,054


$
403,387,862


$
1,229,195,192Willowbridge Master


231,147,799



42,482



231,105,317Winton Master


574,479,690



71,377



574,408,313Total

$
2,438,210,543


$
403,501,721


$
2,034,708,822  14




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
    March 31, 2010
    (Unaudited)
   For the three months ended March 31, 2010Gain (Loss) fromTrading, net
    
    
    Total Income (Loss)
    
    
    Net Income (Loss)AAA Master
    
    $
    (32,837,037
    )
    
    $
    (32,736,795
    )
    
    $
    (33,857,471
    )Winton Master
    
    
    32,303,622
    
    
    
    32,394,397
    
    
    
    32,207,188Willowbridge Master
    
    
    (20,526,632
    )
    
    
    (20,493,570
    )
    
    
    (20,594,231
    )Total
    
    $
    (21,060,047
    )
    
    $
    (20,835,968
    )
    
    $
    (22,244,514
    )
 For the three months ended March 31, 2009Gain (Loss) fromTrading, net
    
    
    Total Income (Loss)
    
    
    Net Income (Loss)AAA Master
    
    $
    91,396,361
    
    
    $
    90,706,272
    
    
    $
    90,736,483Winton Master
    
    
    (4,795,908
    )
    
    
    (4,863,775
    )
    
    
    (4,738,043
    )Willowbridge Master
    
    
    (35,779,806
    )
    
    
    (35,837,552
    )
    
    
    (35,781,885
    )Total
    
    $
    50,820,647
    
    
    $
    50,004,945
    
    
    $
    50,216,555
    March 31, 2010


For the three months ended March 31, 2010% of








ExpensesPartnerships


Fair


Income








Net


Investment

RedemptionInvestment

Net Assets


Value


(Loss)


Commissions


Other


income (loss)


Objective

PermittedAAA Master


    
    29.51
    %
    
    $
    273,701,614
    
    
    $
    (8,094,618
    )
    
    $
    234,143
    
    
    $
    43,419
    
    
    $
    (8,372,180
    )

    

    Energy Markets
    
    MonthlyWillowbridge Master

    
    
    16.45
    %
    
    
    152,589,408
    
    
    
    (12,502,125
    )
    
    
    50,269
    
    
    
    12,156
    
    
    
    (12,564,550
    )
    
    Commodity Portfolio
    
    MonthlyWinton Master
    
    
    40.93
    %
    
    
    379,653,633
    
    
    
    17,841,061
    
    
    
    91,278
    
    
    
    9,307
    
    
    
    17,740,476
    
    
    Commodity Portfolio
    
    MonthlyTotal
    
    
    
    
    
    $
    805,944,655
    
    
    $
    (2,755,682
    )
    
    $
    375,690
    
    
    $
    64,882
    
    
    $
    (3,196,254
    )   15




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
March 31, 2010
    (Unaudited)
  December 31, 2009
    
    
    
    
    
    

For
the three  months ended
March 31, 2009% of
    
    
    
    
    
    
    
    
    
    
    ExpensesPartnerships
    
    
    Fair
    
    
    Income
    
    
    
    
    
    
    
    
    
    
    Net
    

Investment

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

Objective

PermittedAAA Master
    
    
    34.91
    %
    
    $
    284,764,800
    
    
    $
    18,013,190
    
    
    $
    135,719
    
    
    $
    34,890
    
    
    $
    17,842,581
    
    
    Energy Markets
    
    MonthlyWillowbridge
Master
    
    
    16.66
    %
    
    
    135,945,983
    
    
    
    (17,596,397
    )
    
    
    28,546
    
    
    
    4,159
    
    
    
    (17,629,102
    )


    
    Commodity Portfolio
    
    MonthlyWinton Master
    
    
    35.97
    %
    
    
    293,399,613
    
    
    
    (1,898,316
    )
    
    
    26,220
    
    
    
    3,543
    
    
    
    (1,928,079
    )
    
    Commodity Portfolio
    
    MonthlyTotal
    
    
    
    
    
    $
    714,110,396
    
    
    $
    (1,481,523
    )
    
    $
    190,485
    
    
    $
    42,592
    
    
    $
    (1,714,600
    )
  6. Financial Instrument Risks:
     16




---



##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
March 31, 2010
    (Unaudited)
           17




---



##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
March 31, 2010
    (Unaudited)
  7. Critical
    Accounting Policies:
  Use of Estimates.
  Statement of Cash Flows.
  Partnerships and the Funds Investments.
  Partnerships and the Funds Fair Value Measurements.
  18




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
March 31, 2010
    (Unaudited)
  Futures Contracts.
  Forward Foreign Currency Contracts
    London Metals Exchange Forward
    Contracts.
  Options.
  Brokerage Commissions.
  Income Taxes.
 19




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
March 31, 2010
    (Unaudited)


Subsequent Events
  Recent Accounting Pronouncements
  No. 2010-09 2010-09),
  Net income (loss) per Redeemable Unit.
 20




---



##### Table of Contents



Item 2.
    Managements
    Discussion and Analysis of Financial Condition and Results of
    Operations.  Liquidity
    and Capital Resources
        Critical
Accounting Policies
  Partnerships and the Funds Investments.
  Partnerships and the Funds Fair Value Measurements.
    Futures Contracts.
 21




---



##### Table of Contents



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




---



##### Table of Contents



23




---



##### Table of Contents



Item 3.
    Quantitative
    and Qualitative Disclosures about Market Risk            one-day
     March 31, 2010
    (Unaudited)
  Value at
    
    
    % of TotalMarket Sector
    
    Risk
    
    
    CapitalizationCurrencies
    
    $
    9,572,562
    
    
    
    1.03
    %Energy
    
    
    34,441,593
    
    
    
    3.71
    %Grains
    
    
    2,041,176
    
    
    
    0.22
    %Interest Rates U.S.
    
    
    1,724,588
    
    
    
    0.19
    %Interest Rates Non-U.S.
    
    
    6,935,736
    
    
    
    0.75
    %Livestock
    
    
    227,043
    
    
    
    0.02
    %Lumber
    
    
    23,368
    
    
    
    0.00
    %*Metals
    
    
    9,585,028
    
    
    
    1.03
    %Softs
    
    3,212,546
     
    
    
    0.35
    %Indices
    
    12,111,429
     
    
    
    1.31
    %Total
    
    $
    79,875,069
    
    
    
    8.61
    %    24




---



##### Table of Contents



March 31, 2010
 Three months ended  March 31, 2010Value at
    
    
    % of Total
    
    
    High
    
    
    Low
    
    
    Average ValueMarket Sector
    
    Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    at Risk*Currencies
    
    $
    1,258,630
    
    
    
    0.14
    %
    
    $
    1,814,562
    
    
    $
    250,058
    
    
    $
    1,049,734Energy
    
    
    1,972,100
    
    
    
    0.21
    %
    
    
    2,273,100
    
    
    
    56,500
    
    
    
    1,262,133Grains
    
    
    551,250
    
    
    
    0.07
    %
    
    
    1,132,687
    
    
    
    228,250
    
    
    
    607,417Interest Rates U.S.
    
    497,800
    
    
    
    0.05
    %
    
    
    838,400
    
    
    
    102,000
    
    
    
    370,467Interest Rates Non-U.S.
    
    687,787
    
    
    
    0.07
    %
    
    
    1,545,886
    
    
    
    231,820
    
    
    
    913,337Livestock
    
    
    16,000
    
    
    
    0.00
    %*
    
    
    84,800
    
    
    
    8,000
    
    
    
    45,067Metals
    
    
    4,478,928
    
    
    
    0.48
    %
    
    
    4,478,928
    
    
    
    805,423
    
    
    
    2,553,639Softs
    
    
    769,900
    
    
    
    0.08
    %
    
    
    925,700
    
    
    
    337,000
    
    
    
    783,033Total
    
    $
    10,232,395
    
    
    
    1.10
    %  *
    
    Due to rounding  *
    
    Average of  month-end Values at Risk.    March 31, 2010
    (Unaudited)
  Three months ended  March 31, 2010% of Total
         
         
         High
         
         
         Low
         
         
         AverageMarket Sector
         
         Value at Risk
         
         
         Capitalization
         
         
         Value at Risk
         
         
         Value at Risk
         
         
         Value at Risk*Energy
    
    $
    114,734,546
    
    
    
    10.63
    %
    
    $
    143,609,109
    
    
    $
    105,255,921
    
    
    $
    114,508,627Lumber
    
    
    92,000
    
    
    
    0.01
    %
    
    
    92,000
    
    
    
    32,900
    
    
    
    46,467Total
    
    $
    114,826,546
    
    
    
    10.64
    %   *
    
    Average of  month-end Values at Risk.   March 31, 2010

    (Unaudited)
  Three months ended March 31, 2010Value at
    
    
    % of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    

         Value at Risk*Currencies
    
    $
    5,168,528
    
    
    
    2.17
    %
    
    $
    6,227,731
    
    
    $
    2,291,926
    
    
    $
    4,786,821Energy
    
    
    2,192,400
    
    
    
    0.92
    %
    
    
    6,325,000
    
    
    
    460,750
    
    
    
    2,380,383Grains
    
    
    893,200
    
    
    
    0.38
    %
    
    
    3,437,500
    
    
    
    413,000
    
    
    
    1,279,900Interest Rates U.S.
    
    
    565,152
    
    
    
    0.24
    %
    
    
    2,037,750
    
    
    
    243,600
    
    
    
    709,517Interest Rates Non-U.S.
    
    
    4,024,446
    
    
    
    1.69
    %
    
    
    4,385,440
    
    
    
    2,279,842
    
    
    
    3,557,413Livestock
    
    
    162,400
    
    
    
    0.06
    %
    
    
    171,200
    
    
    
    149,600
    
    
    
    155,467Metals
    
    
    1,421,000
    
    
    
    0.60
    %
    
    
    4,488,748
    
    
    
    710,500
    
    
    
    2,176,916Softs
    
    
    2,415,700
    
    
    
    1.02
    %
    
    
    2,832,500
    
    
    
    953,700
    
    
    
    2,106,300Total
    
    $
    16,842,826
    
    
    
    7.08
    %
   *
    
    Average of month-end Values at Risk. 25




---



##### Table of Contents



March 31, 2010
    (Unaudited)
  Three months ended March 31, 2010% of Total


High


Low


AverageMarket Sector

Value at Risk


Capitalization


Value at Risk


Value at Risk


Value at Risk*Currencies
    
    $
    9,083,159
    
    
    
    1.32
    %
    
    $
    11,936,668
    
    
    $
    3,127,432
    
    
    $
    7,270,193Energy
    
    
    3,489,813
    
    
    
    0.51
    %
    
    
    3,635,199
    
    
    
    345,625
    
    
    
    1,630,460Grains
    
    
    1,666,349
    
    
    
    0.24
    %
    
    
    1,818,433
    
    
    
    932,177
    
    
    
    1,325,446Interest Rates U.S.
    
    
    1,570,837
    
    
    
    0.23
    %
    
    
    4,717,680
    
    
    
    743,921
    
    
    
    2,559,622Interest Rates Non-U.S.
    
    
    6,662,281
    
    
    
    0.97
    %
    
    
    7,909,258
    
    
    
    3,487,657
    
    
    
    6,479,959Livestock
    
    
    194,150
    
    
    
    0.03
    %
    
    
    201,990
    
    
    
    158,080
    
    
    
    187,287Metals
    
    
    7,625,124
    
    
    
    1.11
    %
    
    
    7,950,442
    
    
    
    4,864,229
    
    
    
    6,436,353Softs
    
    
    1,621,394
    
    
    
    0.24
    %
    
    
    2,071,953
    
    
    
    538,916
    
    
    
    952,937Indices
    
    
    22,020,780
    
    
    
    3.19
    %
    
    
    22,020,780
    
    
    
    10,790,520
    
    
    
    17,652,813Total
    
    $
    53,933,887
    
    
    
    7.84
    %   *
    
    Average of month-end Values at Risk. 26




---



##### Table of Contents



Item 4.
    Controls
    and Procedures      Rules 13a-15(e) 15d-15(e)
  internal control over financial
    reporting
  
    pertain to the maintenance of records that in reasonable detail
    accurately and fairly reflect the transactions and dispositions
    of the assets of the Partnership;
    provide reasonable assurance that (i) transactions are
    recorded as necessary to permit preparation of financial
    statements in accordance with GAAP. and (ii) the Partnerships
    receipts are handled and expenditures are made only pursuant to
    authorizations of the General Partner; and
    provide reasonable assurance regarding prevention or timely
    detection of unauthorized acquisition, use or disposition of the
    Partnerships assets that could have a material effect on
    the financial statements.   27




---



##### Table of Contents



PART II.
    OTHER INFORMATION
  Item 1.
    Legal
    Proceedings.  Form 10-K
 Credit Crisis Related Matters
   28




---



##### Table of Contents



Item 1A.
    Risk
    Factors  Form 10-K
 Item 2.
    Unregistered
    Sales of Equity Securities and Use of Proceeds.        (d) Maximum Number(c) Total Number of



(or ApproximateRedeemable



Dollar Value) of(b) Average



Units Purchased



Redeemable Units(a) Total Number of



Price Paid per



as Part of



that May Yet BeRedeemable



Redeemable



Publicly Announced



Purchased Under thePeriod


Units Purchased*



Unit**



Plans or Programs



Plans or ProgramsJanuary 1, 2010  
    January 31, 2010



3,780.1718



$
2,626.06




N/A




N/AFebruary 1, 2010  
    February 28, 2010



3,737.6605



$
2,598.26




N/A




N/AMarch 1, 2010  
    March 31, 2010



2,674.6293



$
2,636.15




N/A




N/ATotal



10,192.4616



$
2,618.51       Item 3.
    Defaults
    Upon Senior Securities.  None.  Item 4.
    [Removed and
Reserved]  Item 5.
    Other
    Information.  None.  29




---



##### Table of Contents



Item 6.
    Exhibits 3.1
    
    Second Amended and Restated Limited Partnership Agreement (filed as Exhibit 3.1
to current report on Form 8-K/A filed on December 28, 2009).3.2
    
    Certificate of Limited Partnership of the Partnership as filed in the office of
the Secretary of State of the State of the State of New York (filed as Exhibit 3.(I) to
the general form for registration of securities on Form 10 filed on May 1, 2003).
 (a)
    
    1st Certificate of Amendment to the Certificate of Limited
Partnership as filed in the office of the Secretary of State of the State of New
York, dated April 3, 2001 (filed as Exhibit 3.(I) to the general form for
registration of securities on Form 10 filed on May 1, 2003).(b)
    
    2nd Certificate of Amendment to the Certificate of Limited
Partnership as filed in the office of the Secretary of State of the State of New
York, dated May 21, 2003 (filed as Exhibit 3.2(b) to the Form 10-Q filed on
November 16, 2009).(c)
    
    3rd Certificate of Amendment to the Certificate of Limited
Partnership as filed in the office of the Secretary of State of the State of New
York, dated September 21, 2005 (filed as Exhibit 3.2(c) to the Form 10-Q filed on
November 16, 2009).(d)
    
    4th Certificate of Amendment to the Certificate of Limited
Partnership as filed in the office of the Secretary of State of the State of New
York, dated August 27, 2008 (filed as Exhibit 99.1 to current report on Form 8-K
filed on September 2, 2008).(e)
    
    5th Certificate of Amendment to the Certificate of Limited
Partnership as filed in the office of the Secretary of State of the State of New
York, dated September 19, 2008 (filed as Exhibit 3.2(e) to the Form 10-Q filed on
November 16, 2009).(f)
    
    6th Certificate of Amendment to the Certificate of Limited
Partnership as filed in the office of the Secretary of State of the State of New
York, dated September 30, 2009 (filed as Exhibit 99.1(a) to current report on Form
8-K filed on September 30, 2009).(g)
    
    1st Certificate of Change to the Certificate of Limited
Partnership as filed in the office of the Secretary of State of the State of New
York, dated January 31, 2000 (filed as Exhibit 3.2(g) to the Form 10-Q filed on
November 16, 2009).
 10.1
    
    Management Agreement among the Partnership, Smith Barney Futures Management
Inc., SFG Global Investments, Inc. and AAA Capital Management Inc. (filed as Exhibit 10
to the general form for registration of securities on Form 10 filed on May 1, 2003).
 (a)
    
    First Amendment to the Management Agreement among the Partnership,
Smith Barney Futures Management Inc., SFG Global Investments, Inc. and AAA Capital
Management Inc. (filed as Exhibit 10 to the general form for registration of
securities on Form 10 filed on May 1, 2003).
 30




---



##### Table of Contents



(b)
    
    Second Amendment to the Management Agreement among Citigroup Managed
Futures LLC and AAA Capital Management Inc. (filed as Exhibit 33 to the quarterly
report on Form 10-Q filed on August 14, 2006).(c)
    
    Letter extending the Management Agreements between the General Partner
and AAA Capital Management Inc. for 2009 (filed as Exhibit 10.1(c) to the annual
report on Form 10-K filed on March 31, 2010).
 10.2
    
    Management Agreement among the Partnership, Smith Barney Futures Management
Inc., SFG Global Investments, Inc. and Willowbridge Associates Inc. (filed as Exhibit
10 to the general form for registration of securities on Form 10 filed on May 1, 2003).
 (a)
    
    First Amendment to the Management Agreement among the Partnership,
Smith Barney Futures Management Inc., SFG Global Investments, Inc. and Willowbridge
Associates Inc. (filed as Exhibit 10 to the general form for registration of
securities on Form 10 filed on May 1, 2003).(b)
    
    Letter extending the Management Agreement between the General Partner
and Willowbridge Associates Inc. for 2009 (filed as Exhibit 10.2(b) to the annual
report on Form 10-K filed on March 31, 2010).
 10.3
    
    Management Agreement among the Partnership, Citigroup Managed Futures LLC and
Winton Capital Management Limited (filed as Exhibit 10 to the annual report on Form
10-K filed on March 15, 2004).
 (a)
    
    Letter extending the Management Agreement between the General Partner
and Winton Capital Management Limited for 2009 (filed as Exhibit 10.3(b) to the
annual report on Form 10-K filed on March 31, 2010).
 10.4
    
    Amended and Restated Customer Agreement between the Partnership and Salomon
Smith Barney Inc. (filed as Exhibit 10 to the general form for registration of
securities on Form 10 filed on May 1, 2003).10.5
    
    Second Amended and Restated Agency Agreement between the Partnership, Ceres
Managed Futures LLC, Morgan Stanley Smith Barney LLC and CGM Inc. (filed as Exhibit
10.5 to the Form 10-Q filed on November 16, 2009).10.6
    
    Form of Subscription Agreement (filed as Exhibit 10.5 to the Form 10-Q filed on
November 16, 2009).10.7
    
    Form of Third-Party Subscription Agreement (filed as Exhibit 10.5 to the Form
10-Q filed on November 16, 2009).10.8
    
    Joinder Agreement among Citigroup Managed Futures LLC, CGM Inc. and Morgan
Stanley Smith Barney LLC (filed as Exhibit 10 to the quarterly report on Form 10-Q
filed on August 14, 2009).
     31




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##### Table of Contents



SIGNATURES
     ORION FUTURES FUND L.P.
  By:
    Ceres Managed Futures LLC    By:
    /s/  Jerry
    Pascucci     Date:
    May 17, 2010    By:
    /s/  Jennifer
    Magro      Date:
    May 17, 2010  32