UNITED STATES
    SECURITIES AND EXCHANGE COMMISSION
    WASHINGTON, D.C. 20549
  FORM 10-Q
  (X) QUARTERLY REPORT PURSUANT TO SECTION 13 OR
    15(d)
  OF THE SECURITIES EXCHANGE ACT OF 1934
  For The Quarterly Period Ended September 30, 2008
  OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR
    15(d)
  OF THE SECURITIES EXCHANGE ACT OF 1934
  
  0-50271
  CITIGROUP ORION FUTURES FUND L.P.
    New York

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

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




---



##### 



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


Financial Statements:Statements of Financial Condition at
    September 30, 2008 and December 31, 2007 (unaudited)

3Schedules of Investments at
    September 30, 2008 and December 31, 2007 (unaudited)

4  5Statements of Income and Expenses
    and Partners Capital for the three and nine months
    ended September 30, 2008 and 2007 (unaudited)

6Statements of Cash Flows for the nine months
    ended September 30, 2008 and 2007 (unaudited)

7Notes to Financial Statements (unaudited)

8  14Item 2.


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

15  18Item 3.


Quantitative and Qualitative
    Disclosures about Market Risk

19  20Item 4T.


Controls and Procedures

21PART II - Other Information

22  26  2




---



##### 



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


December 31,2008


2007Assets:Investment in Partnerships, at fair value

$
555,534,762


$
431,131,828Equity in commodity futures trading account:Cash


69,506,868



34,941,065Cash margin


1,549,785



1,570,327Net unrealized appreciation on open futures contracts


1,076,630



590,874Unrealized appreciation on forward contracts


3,252,415



Commodity options owned, at
fair value (cost $592,000 and $0 in 2008 and 2007, respectively)


7,750



630,928,210



468,234,094Distribution receivable


410,486



943,070Interest receivable


64,345



94,303Total assets

$
631,403,041


$
469,271,467Liabilities and Partners Capital:Liabilities:Unrealized depreciation on open forward contracts

$
3,394,559


$
Accrued expenses:Brokerage commissions


1,621,240



1,087,160Management fees


967,249



706,963Administrative fees


260,960



195,039Incentive fees


7,533,291



4,416,325Other


84,233



92,021Redemptions payable


10,206,781



2,368,203Total liabilities


24,068,313



8,865,711Partners Capital:General Partner, 1,281.5595 and 428.9590 Unit equivalents
    outstanding in 2008 and 2007, respectively


3,313,844



914,794Limited Partners, 233,592.3843 and 215,461.3000 Redeemable Units
    of Limited Partnership Interest outstanding in 2008 and 2007,
    respectively


604,020,884



459,490,962Total partners capital


607,334,728



460,405,756Total liabilities and partners capital

$
631,403,041


$
469,271,467    3




---



##### 



Citigroup Orion Futures Fund L.P.
    Schedule of Investments
    September 30, 2008
    (Unaudited)
  % of PartnersFair Value


CapitalFutures Contracts PurchasedCurrencies

$
109,725



0.02
%Interest Rates Non-U.S.


(35,761
)


(0.01
)Metals


(12,500
)


0.00
*Total futures contracts purchased


61,464



0.01Futures Contracts SoldCurrencies


130,856



0.02Energy


17,010



0.00
*Grains


547,948



0.09Interest Rates Non-U.S.


(62,635
)


(0.01
)Livestock


12,510



0.00
*Metals


283,912



0.05Softs


85,565



0.02Total futures contracts sold


1,015,166



0.17Net unrealized appreciation on futures contracts


1,076,630



0.18Unrealized Appreciation on Open Forward ContractsMetals


3,252,415



0.54Total unrealized appreciation on open forward contracts


3,252,415



0.54Unrealized Depreciation on Open Forward ContractsMetals


(3,394,559
)


(0.56
)Total unrealized depreciation on open forward contracts


(3,394,559
)


(0.56
)Options OwnedEnergy


7,000



0.00
*Grains


750



0.00
*Total options owned


7,750



0.00
*Investment in PartnershipsCitigroup AAA Master Fund LLC


243,002,449



40.01CMF Willowbridge Argo Master Fund LP


128,720,739



21.19CMF Winton Master Fund LP


183,811,574



30.27Total investment in Partnerships


555,534,762



91.47Total fair value

$
556,476,998



91.63
%   *
    
    Due to rounding.   4




---



##### 



Citigroup Orion Futures Fund L.P.
    Schedule of Investments
    December 31, 2007
    (Unaudited)
  % of PartnersFair Value


CapitalFutures Contracts PurchasedEnergy

$
221,653



0.05
%Grains


405,137



0.09Metals


(63,100
)


(0.01
)Softs


23,338



0.00
*Total futures contracts purchased


587,028



0.13Futures Contracts SoldCurrencies


(11,275
)


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


14,901



0.00
*Softs


220



0.00
*Total futures contracts sold


3,846



0.00
*Net unrealized appreciation on futures contracts


590,874



0.13Investment in PartnershipsSB AAA Master Fund LLC


165,108,218



35.86CMF Willowbridge Argo Master Fund LP


90,472,695



19.65CMF Winton Master LP


175,550,915



38.13Total investment in Partnerships


431,131,828



93.64Total fair value

$
431,722,702



93.77
%   *
    
    Due to rounding.   5




---



##### 



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


Nine Months EndedSeptember 30,


September 30,2008


2007


2008


2007Income:Net gains (losses) on trading of commodity interests and
    investment in Partnerships:Net realized gains (losses) on closed positions

$
2,246,419


$
3,251,325


$
9,319,273


$
5,947,460Change in net unrealized gains (losses) on open positions and
    investment in Partnerships


26,217,759



12,590,212



141,438,851



42,948,298Gain (loss) from trading, net


28,464,178



15,841,537



150,758,124



48,895,758Interest income


255,189



282,958



659,648



802,584Total income (loss)


28,719,367



16,124,495



151,417,772



49,698,342Expenses:Brokerage commissions, including clearing fees of
    $26,999, $10,299, $68,399 and $40,089, respectively


1,517,139



1,009,216



4,791,933



4,066,658Management fees


2,796,871



1,809,743



7,834,775



4,921,638Administrative fees


757,089



499,292



2,144,949



1,358,903Incentive fees


7,533,291



1,591,521



29,334,244



3,369,167Other


113,039



65,329



278,747



151,763Total expenses


12,717,429



4,975,101



44,384,648



13,868,129Net income (loss)


16,001,938



11,149,394



107,033,124



35,830,213Additions  Limited Partners


39,412,000



30,108,000



133,428,000



103,736,000Additions  General Partners










1,973,412



Redemptions  Limited Partners


(35,096,381
)


(9,673,407
)


(95,505,564
)


(35,505,536
)Redemptions  General Partner














(750,133
)Net increase in Partners Capital


20,317,557



31,583,987



146,928,972



103,310,544Partners Capital, beginning of period


587,017,171



380,124,635



460,405,756



308,398,078Partners Capital, end of period

$
607,334,728


$
411,708,622


$
607,334,728


$
411,708,622Net Asset Value per Unit (234,873.9438 and 205,701.2820 Units
    outstanding at September 30, 2008 and 2007, respectively)

$
2,585.79


$
2,001.49


$
2,585.79


$
2,001.49Net income (loss) per Redeemable Unit of Limited Partnership
    Interest and General Partner Unit equivalent

$
66.99


$
52.72


$
453.20


$
173.70    6




---



##### 



Citigroup Orion Futures Fund L.P.
    Statements of Cash Flows
    (Unaudited)
  Nine Months EndedSeptember 30,2008


2007Cash flows from operating activities:Net income (loss)

$
107,033,124


$
35,830,213Adjustments to reconcile net income (loss) to net cash provided
    by (used in) operating activities:Changes in operating assets and liabilities:Purchases of investment in Partnerships


(118,812,042
)


(98,936,850
)Proceeds from sale of investment in Partnerships


136,621,182



44,149,021Net change in unrealized (appreciation) depreciation on
    investment in Partnerships


(142,212,074
)


(41,563,082
)(Increase) decrease in cash margin


20,542



(547,076
)(Increase) decrease in net unrealized appreciation on open
    futures contracts


(485,756
)


(1,385,216
)(Increase) decrease in unrealized appreciation on open forward
contracts


(3,252,415
)


(Increase) decrease in commodity options owned, at fair value


(7,750
)


(Increase) decrease in distribution receivable


532,584



(Increase) decrease in interest receivable


29,958



(17,297
)(Increase) decrease in unrealized depreciation on open forward
contracts


3,394,559



Accrued expenses:Increase (decrease) in brokerage commissions


534,080



(227,103
)Increase (decrease) in management fees


260,286



160,368Increase (decrease) in administrative fees


65,921



44,847Increase (decrease) in incentive fees


3,116,966



492,809Increase (decrease) in other


(7,788
)


(84,177
)Net cash provided by (used in) operating activities


(13,168,623
)


(62,083,543
)Cash flows from financing activities:Proceeds from additions  Limited Partners


133,428,000



103,736,000Proceeds from additions  General Partner


1,973,412



Payments for redemptions  Limited Partners


(87,666,986
)


(31,883,879
)Payments for redemptions  General Partner






(750,133
)Net cash provided by (used in) financing activities


47,734,426



71,101,988Net change in cash


34,565,803



9,018,445Cash, at beginning of period


34,941,065



16,295,681Cash, at end of period

$
69,506,868


$
25,314,126    7




---



##### 



Citigroup Orion Futures Fund L.P.Notes to Financial StatementsSeptember 30, 2008
    (Unaudited)
  1.
    General:          Form 10-K
     8




---



##### 



Citigroup Orion
    Futures Fund L.P.
    Notes to Financial Statements
    September 30, 2008
    (Unaudited)
  2.
    Financial
    Highlights:    Three Months Ended


Nine Months EndedSeptember 30,


September 30,2008


2007


2008


2007Net realized and unrealized gains (losses)*

$
112.79


$
70.74


$
617.88


$
219.78Interest income


1.07



1.40



2.81



4.18Expenses**


(46.87
)


(19.42
)


(167.49
)


(50.26
)Increase (decrease) for the period


66.99



52.72



453.20



173.70Net Asset Value per Redeemable Unit, beginning of period


2,518.80



1,948.77



2,132.59



1,827.79Net Asset Value per Redeemable Unit, end of period

$
2,585.79


$
2,001.49


$
2,585.79


$
2,001.49   *
    
    Includes brokerage commissions.**
    
    Excludes brokerage commissions.  Three Months Ended


Nine Months EndedSeptember 30,


September 30,2008


2007


2008


2007Ratios to Average Net Assets:***Net investment income (loss) before incentive fees****


(3.3
)%


(3.1
)%


(3.5
)%


(3.7
)%Operating expense


3.5
%


3.4
%


3.7
%


4.0
%Incentive fees


1.3



0.4



5.4



1.0Total expenses


4.8
%


3.8
%


9.1
%


5.0
%Total return:Total return before incentive fees


3.9
%


3.1
%


27.1
%


10.4
%Incentive fees


(1.2
)


(0.4
)


(5.8
)


(0.9
)Total return after incentive fees


2.7
%


2.7
%


21.3
%


9.5
%   ***
    
    Annualized (other than incentive fees).  ****
    
    Interest income less total expenses.    3.
    Trading
    Activities:   9




---



##### 



Citigroup Orion Futures Fund L.P.
    Notes to Financial Statements
    September 30, 2008
    (Unaudited)
        4.
    Fair
    Value Measurements:  Investments.
  Fair Value Measurements. Fair Value Measurements No. FAS 157-2, Effective Date of FASB Statement No. 157
    10




---



##### 



Citigroup Orion Futures Fund L.P.
    Notes to Financial Statements
    September 30, 2008
    (Unaudited)
  Quoted Prices inActive Markets


Significant Other


Significantfor Identical


Observable Inputs


Unobservable9/30/2008


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsForwards

$
3,252,415


$



$
3,252,415


$
Futures


1,076,630



1,076,630







Options


7,750



7,750







Investment in Partnerships


555,534,762







555,534,762



Total Assets

$
559,871,557


$
1084,380


$
558,787,177


$
LiabilitiesForwards

$
3,394,559


$



$
3,394,559


$
Total Liabilities


3,394,559







3,394,559



Total Fair Value

$
556,476,998


$
1084,380


$
555,392,618


$
   5.
    Investment
    in Partnerships:           11




---



##### 



Citigroup Orion Futures Fund L.P.
    Notes to Financial Statements
    September 30, 2008
    (Unaudited)
    give-up,
      September 30, 2008Funds


Funds


FundsTotal Assets


Total Liabilities


Total CapitalAAA Master

$
1,876,577,674


$621.697,910


$1,254,879,764Willowbridge Master


287,503,914



249,408



287,254,506Winton Master


490,507,894



1,597,793



488,910,101Total

$2,654,589,482


$623,545,111


$2,031,044,371   December 31, 2007Funds


Funds


FundsTotal Assets


Total Liabilities


Total CapitalAAA Master

$
1,160,130,922


$
160,677,386


$
999,453,536Willowbridge Master


213,552,209



497,187



213,055,022Winton Master


464,943,301



7,898,168



457,045,133Total

$
1,838,626,432


$
169,072,741


$
1,669,553,691     September 30, 2008


For the three months ended September 30, 2008% of








ExpensesPartnerships


Fair


Income








Net


Investment

RedemptionInvestment

Net Assets


Value


(Loss)


Commissions


Other


income (loss)


Objective

PermittedCitigroup AAA Master Fund LLC


40.01
%

$
243,002,449


$
37,472,417


$
161,680


$
48,070


$
37,262,667


Energy
    Markets

MonthlyCMF Willowbridge Argo Master Fund LP


21.19
%


128,720,739



4,516,430



54,124



4,133



4,458,173


Commodity
    Portfolio

MonthlyCMF Winton Master LP


30.27
%


183,811,574



(13,937,663
)


41,077



3,463



(13,982,203
)

Commodity
    Portfolio

MonthlyTotal





$
555,534,762


$
28,051,184


$
256,881


$
55,666


$
27,738,637   12




---



##### 



Citigroup
    Orion Futures Fund L.P.
    Notes to Financial Statements
    September 30, 2008
    (Unaudited)
  September 30, 2008


For the nine months ended September 30, 2008% of








ExpensesPartnerships


Fair


Income








Net


Investment

RedemptionInvestment

Net Assets


Value


(Loss)


Commissions


Other


Income (loss)


Objective

PermittedCitigroup AAA Master Fund LLC


40.01
%

$
243,002,449


$
75,635,358


$
442,024


$
111,949


$
75,081,385


Energy
    Markets

MonthlyCMF Willowbridge Agro Master Fund LP


21.19
%


128,720,739



41,096,023



145,113



12,266



40,938,644


Commodity
    Portfolio

MonthlyCMF Winton Master LP


30.27
%


183,811,574



25,826,961



157,302



10,198



25,659,461


Commodity
    Portfolio

MonthlyTotal





$
555,534,762


$
142,558,342


$
744,439


$
134,413


$
141,679,490   December 31, 2007


For the three months ended September 30, 2007% of








ExpensesPartnerships


Fair


Income








Net


Investment


RedemptionInvestment

Net Assets


Value


(Loss)


Commissions


Other


Income (loss)


Objective


PermittedSB AAA Master Fund LLC


35.86
%

$
165,108,218


$
4,929,116


$
128,368


$
26,921


$
4,773,827



Energy
    Markets



MonthlyCMF Willowbridge Argo Master Fund LP


19.65
%


90,472,695



(2,245,944
)


33,127



2,964



(2,282,035
)


Commodity
    Portfolio



MonthlyCMF Winton Master Fund LP


38.13
%


175,550,915



8,709,966



69,714



4,429



8,635,823



Commodity
    Portfolio



MonthlyTotal





$
431,131,828


$
11,393,138


$
231,209


$
34,314


$
11,127,615   December 31, 2007


For the nine months ended September 30, 2007% of








ExpensesPartnerships


Fair


Income








Net


Investment


RedemptionInvestment

Net Assets


Value


(Loss)


Commissions


Other


Income (loss)


Objective


PermittedSB AAA Master Fund LLC


35.86
%

$
165,108,218


$
19,352,717


$
343,619


$
54,779


$
18,954,319



Energy
    Markets



MonthlyCMF Willowbridge Argo Master Fund LP


19.65
%


90,472,695



3,001,232



133,221



9,811



2,858,200



Commodity
    Portfolio



MonthlyCMF Winton Master LP


38.13
%


175,550,915



20,023,568



260,052



12,953



19,750,563



Commodity
    Portfolio



MonthlyTotal





$
431,131,828


$
42,377,517


$
736,892


$
77,543


$
41,563,082   6.
    Financial
    Instrument Risks:   13




---



##### 



Citigroup Orion Futures Fund L.P.
    Notes to Financial Statements
    September 30, 2008
    (Unaudited)
           14




---



##### 



Item 2.
    Managements
    Discussion and Analysis of Financial Condition and Results of
    Operations.  Liquidity
    and Capital Resources
        Critical
    Accounting Policies
  Use of Estimates.
  Investments.
  Fair Value Measurements.
 15




---



##### 



Forward Foreign Currency Contracts. agreed-upon
  Income Taxes.
      Recent Accounting Pronouncements.
 16




---



##### 



Results
    of Operations
              30-day 3-month and/or
 17




---



##### 



90-day
         18




---



##### 



Item 3.
    Quantitative
    and Qualitative Disclosures about Market Risk          one-day
  Form 10-K
  September 30,
    2008
    (Unaudited)
  Three Months Ended September 30, 2008Value at


% of Total


High


Low


Average ValueMarket Sector

Risk


Capital


Value at Risk


Value at Risk


at Risk*Currencies:- Exchange Traded Contracts

$
208,859



0.03
%

$
1,999,001


$
208,859


$
750,990Energy


79,410



0.01
%


1,894,510



7,220



737,537Grains


220,060



0.04
%


865,500



83,180



243,613Interest Rates Non-U.S.


585,382



0.10
%


1,148,337



137,316



753,607Livestock


7,200



0.00
% **


93,200



7,200



30,800Metals:- Exchange Traded Contracts


136,750



0.02
%


1,634,000



109,250



196,917Softs


75,000



0.01
%


471,200



17,100



92,133Total

$
1,312,661



0.21
%   *
    
    Average month-end Values at Risk**
    
    Due to rounding 19




---



##### 



September 30,
    2008
    (Unaudited)
  Three months ended September 30, 2008% of Total


High


Low


AverageMarket Sector

Value at Risk


Capital


Value at Risk


Value at Risk


Value at Risk*Energy

$
271,550,416



21.64
%

$
347,331,891


$
160,617,551


$
244,071,688Energy Swaps


1,620,046



0.13
%


1,620,046



1,620,046



1,620,046Total

$
273,170,462



21.77
%   *
    
    Average month-end Values at Risk   September 30,
    2008
    (Unaudited)
  Three months ended September 30, 2008Value at


% of Total


High


Low


AverageMarket Sector

Risk


Capital


Value at Risk


Value at Risk


Value at Risk*Currencies: Exchange Traded Contracts

$
2,172,488



0.75
%

$
11,556,229


$
1,289,789


$
5,293,563Energy


1,926,250



0.67
%


6,294,750



1,926,250



2,861,283Grains


1,541,000



0.54
%


5,325,300



201,000



1,334,333Interest Rates U.S.Interest Rates Non-U.S.


1,568,237



0.55
%


4,420,669



1,014,083



3,125,016Livestock


53,600



0.02
%


220,000



53,600



54,400Metals: Exchange Traded Contracts


770,500



0.27
%


6,385,000



770,500



1,450,917Softs


663,300



0.23
%


2,169,500



120,600



524,700Total

$
8,695,375



3.03
%   *
    
    Average of month-end Values at Risk    September 30,
    2008
    (Unaudited)
  Three months ended September 30, 2008% of Total


High


Low


AverageMarket Sector

Value at Risk


Capital


Value at Risk


Value at Risk


Value at Risk*Currencies: Exchange Traded Contracts

$
2,536,881



0.52
%

$
3,807,089


$
2,255,442


$
2,858,142Energy


1,450,250



0.30
%


6,420,400



1,450,250



4,019,433Grains


676,380



0.14
%


2,752,000



676,380



1,586,681Interest Rates U.S.


2,291,950



0.47
%


3,934,150



1,850,700



2,844,617Interest Rates Non-U.S.


4,020,151



0.82
%


6,764,425



3,079,904



5,158,804Livestock


178,000



0.04
%


178,000



32,205



111,747Lumber


2,200



0.00
%**


5,400



2,200



2,567Metals: Exchange Traded Contracts


241,750



0.05
%


1,869,500



114,250



643,417 OTC Contracts


1,050,956



0.22
%


1,856,086



683,145



1,076,510Softs


461,926



0.09
%


854,028



461,926



642,026Indices


7,161,056



1.46
%


12,018,105



7,091,823



9,534,109Total

$
20,071,500



4.11
%   *
    
    Average of month-end Values at Risk**
    
    Due to rounding 20




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##### 



Item 4T.
    Controls
    and Procedures      Rule 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 U.S. generally accepted
    accounting principles, 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.   21




---



##### 



PART II.
    OTHER INFORMATION
  Item 1.
    Legal
    Proceedings.  Form 10-K Form 10-Q
 Research Analyst Litigation
  Subprime-Mortgage-Related Litigation
 22




---



##### 



Auction Rate Securities-Related Litigation
 23




---



##### 



Item 1A.
    Risk
    Factors  Form 10-K Form 10-Q
   24




---



##### 



Item 2.
    Unregistered
    Sales of Equity Securities and Use of Proceeds.        (d) Maximum Number(c) Total Number of



(or ApproximateRedeemable



Dollar Value) of(b) Average



Units Purchased



Redeemable Units(a) Total Number of



Price Paid per



as Part of



that May Yet BeRedeemable



Redeemable



Publicly Announced



Purchased Under thePeriod


Units Purchased*



Unit**



Plans or Programs



Plans or ProgramsJuly 1, 2008  
    July 31, 2008



5,377.6400



$
2,424.94




N/A




N/AAugust 1, 2008  
    August 31, 2008



4,720.7565



$
2,510.01




N/A




N/ASeptember 1, 2008  
    September 30, 2008



3,947.2582



$
2,585.79




N/A




N/A14,045.6547



$
2,498.74       Item 3.
    Defaults
    Upon Senior Securities.  None.  Item 4.
    Submission
    of Matters to a Vote of Security
    Holders.  None.  Item 5.
    Other
    Information.  None.  25




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##### 



Item 6.
    Exhibits  Regulation S-K Form 10-K
  Rule 13a-14(a)/15d-14(a)
  Rule 13a-14(a)/15d-14(a)
     26




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##### 



SIGNATURES
     CITIGROUP ORION FUTURES FUND L.P.
  By:
    Citigroup Managed Futures LLC    By:
    /s/  Jerry
    Pascucci       By:
    /s/  Jennifer
    Magro      27