##### Table of Contents





UNITED STATES
    SECURITIES AND EXCHANGE COMMISSION
    WASHINGTON, D.C. 20549
  FORM 10-Q
  (X) QUARTERLY REPORT PURSUANT TO SECTION 13 OR
    15(d)
  OF THE SECURITIES EXCHANGE ACT OF 1934
  For the Quarterly Period Ended September 30, 2009
  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
September 30, 2009 and December 31, 2008 (unaudited)

3Schedules of Investments at
September 30, 2009 and December 31, 2008 (unaudited)

4  5Statements of Income and Expenses
    and Changes in Partners Capital for the three and nine months
    ended September 30, 2009 and 2008 (unaudited)

6Notes to Financial Statements (unaudited)

7  16Item 2.


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

17  20Item 3.


Quantitative and Qualitative
    Disclosures about Market Risk

21  22Item 4.


Controls and Procedures

23PART II - Other Information

24  27Exhibits3.2(b)    Certificate of Amendment to the Certificate of Limited
Partnership, dated May 21, 20033.2(c)    Certificate of Amendment to the Certificate of Limited
Partnership, dated September 21, 20053.2(e)    Certificate of Amendment to the Certificate of Limited
Partnership, dated September 19, 20083.2(g)    Certificate
of Change  to the Certificate of Limited
Partnership, dated January 31, 200010.5       Second
Amended and Restated Agency Agreement10.6       Form of Subscription Agreement10.7       Form
of Third-Party Subscription Agreement31.1       Certification31.2       Certification32.1       Certification32.2       Certification  2




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##### Table of Contents



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


December 31,2009


2008Assets:Investment in Partnerships, at fair value

    $
    688,746,400


$
610,171,060Equity in trading account:Cash

    
    71,533,862



70,898,968Cash margin

    
    8,689,124



2,972,978Net unrealized appreciation on open futures contracts

    
    1,469,672



1,526,317Net unrealized appreciation on open forward contracts

    
    106,348



144,156770,545,406



685,713,479Interest receivable

    
    4,399



1,397Total assets

    $
    770,549,805


$
685,714,876Liabilities and Partners Capital:Liabilities:Accrued expenses:Brokerage commissions

    $
    2,125,855


$
1,380,827Management fees

    
    1,178,758



1,053,913Administrative fees

    
    320,165



285,090Incentive fees

    
    1,035,966



10,922,554Other

    
    29,174



117,207Redemptions payable

    
    10,254,527



23,068,432Total liabilities

    
    14,944,445



36,828,023Partners Capital:General Partner, 1,281.5595 Unit equivalents
    outstanding at September 30, 2009 and December 31, 2008, respectively

    
    3,523,673



3,635,695Limited Partners, 273,531.9430 and 227,446.9882 Redeemable Units
    of Limited Partnership Interest outstanding at September 30, 2009 and December 31, 2008,
    respectively

    
    752,081,687



645,251,158Total partners capital

    
    755,605,360



648,886,853Total liabilities and partners capital

    $
    770,549,805


$
685,714,876    3




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##### Table of Contents



Orion Futures Fund L.P.Schedule of Investments
September 30, 2009
    (Unaudited)
  Number of
    
    
    
    
    
    % of Partnerscontracts
    
    
    Fair Value
    
    CapitalFutures
Contracts PurchasedCurrencies
    
    
    388
    
    
    $
    1,026,937
    
    
    
    0.14
    %Grains
    
    
    122
    
    
    
    13,725
    
    
    
    0.00
    *Interest Rates U.S.
    
    
    388
    
    
    
    310,969
    
    
    
    0.04Interest Rates Non-U.S.
    
    
    412
    
    
    
    196,233
    
    
    
    0.02Metals
    
    
    254
    
    
    
    529,525
    
    
    
    0.07Softs
    
    
    234
    
    
    
    146,896
    
    
    
    0.02Total futures contracts purchased
    
    
    
    
    
    
    2,224,285
    
    
    
    0.29Futures Contracts SoldCurrencies
    
    
    194
    
    
    
    95,234
    
    
    
    0.01Energy
    
    
    252
    
    
    
    (974,941
    )
    
    
    (0.13
    )Grains
    
    
    223
    
    
    
    306,838
    
    
    
    0.04Interest Rates U.S.
    
    
    97
    
    
    
    (9,150
    )
    
    
    (0.00
    )*Interest Rates Non-U.S.
    
    
    97
    
    
    
    (4,674
    )
    
    
    (0.00
    )*Livestock
    
    
    55
    
    
    
    (20,070
    )
    
    
    (0.00
    )*Metals
    
    
    143
    
    
    
    (147,850
    )
    
    
    (0.02
    )Total futures contracts sold
    
    
    
    
    
    
    (754,613
    )
    
    
    (0.10
    )Unrealized Appreciation on Open Forward ContractsMetals
    
    

    92
    

    
    2,467,781
    
    
    
    0.33Total unrealized appreciation on open forward contracts
    
    
    
    
    
    
    2,467,781
    
    
    
    0.33Unrealized Depreciation on Open Forward ContractsMetals
    
    
110
    
    
    
    (2,361,433
    )
    
    
    (0.31
    )Total unrealized depreciation on open forward contracts
    
    
    
    
    
    
    (2,361,433
    )
    
    
    (0.31
    )Investment in PartnershipsAAA Master Fund LLC
    
    
    
    
    
    
    305,713,895
    
    
    
    40.46CMF Willowbridge Argo Master Fund  LP
    
    
    
    
    
    
    138,253,880
    
    
    
    18.30CMF Winton Master  LP
    
    
    
    
    
    
    244,778,625
    
    
    
    32.39Total investment in Partnerships
    
    
    
    
    
    
    688,746,400
    
    
    
    91.15Total fair value
    
    
    
    
    
    $
    690,322,420
    
    
    
    91.36
    %
 *
    
    Due to rounding   4




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##### Table of Contents



Orion Futures Fund L.P.
    Schedule of Investments
    December 31, 2008
    (Unaudited)
  Number of
    
    



% of PartnersContracts
    
    
Fair Value


CapitalFutures Contracts PurchasedCurrencies

    
    114
    
    
$
127,205



0.02
%Energy

    
    19
    
    

(55,290
)


(0.01
)Grains

    
    190
    
    

260,336



0.04Metals

    
    19
    
    

44,650



0.01Interest Rates U.S.

    
    190
    
    

607,238



0.09Interest Rates Non-U.S.

    
    161
    
    

567,778



0.09Softs


    38
    
    

90,950



0.01Total futures contracts purchased

    
    
    

1,642,867



0.25Futures Contracts SoldMetals

    
    38
    
    

(116,550
)


(0.02
)Total futures contracts sold

    
    
    
    

(116,550
)


(0.02
)Unrealized Appreciation on Open Forward ContractsMetals

    
    214
    
    

3,283,299



0.50Total unrealized appreciation on open forward contracts

    
    
    
    

3,283,299



0.50Unrealized Depreciation on Open Forward ContractsMetals

    
    184
    
    

(3,139,143
)


(0.48
)Total unrealized depreciation on open forward contracts

    
    
    

(3,139,143
)


(0.48
)Investment in PartnershipsAAA Master Fund LLC

    
    
    
    

265,560,308



40.93CMF Willowbridge Argo Master Fund LP

    
    
    

137,021,864



21.12CMF Winton Master LP

    
    
    
    

207,588,888



31.99Total investment in Partnerships

    
    
    
    

610,171,060



94.04Total fair value

    
    
    
    
$
611,841,533



94.29
%
  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 Ended
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2009
    
    
    2008
    
    
    2009
    
    
    2008Income:Net gains
(losses) on trading of commodity interests and investment in
Partnerships:Net realized gains (losses) on closed contracts
    
    $
    (4,855,184
    )
    
    $
    2,246,419
    
    
    $
    (5,606,585
    )
    
    $
    9,319,273Net realized gains (losses) on investment in Partnerships
    
    
    (6,668,146
    )
    
    
    16,982,079
    
    
    
    121,488,416
    
    
    
    53,381,790Change in net unrealized gains (losses) on open contracts
    
    
    1,170,075
    
    
    
    (1,520,879
    )
    
    
    (94,453
    )
    
    
    (240,637
    )Change in net unrealized gains (losses) on investment
in Partnerships
    
    
    7,997,677
    
    
    
    9,569,011
    
    
    
    (115,408,975
    )
    
    
    84,253,534Gain (loss) from, trading net
    
    
    (2,355,578
    )
    
    
    27,276,630
    
    
    
    378,403
    
    
    
    146,713,960Interest income
    
    
    22,621
    
    
    
    255,190
    
    
    
    60,700
    
    
    
    659,646Interest income from investment in Partnerships
    
    
    151,965
    
    
    
    1,500,094
    
    
    
    428,088
    
    
    
    4,923,018Total income
(loss)
    
    
    (2,180,992
    )
    
    
    29,031,914
    
    
    
    867,191
    
    
    
    152,296,624Expenses:Brokerage commissions including clearing fees
    
    
    2,251,687
    
    
    
    1,774,020
    
    
    
    5,556,620
    
    
    
    5,536,372Management fees
    
    
    3,427,414
    
    
    
    2,796,871
    
    
    
    9,687,324
    
    
    
    7,834,775Administrative fees
    
    
    928,856
    
    
    
    757,089
    
    
    
    2,625,301
    
    
    
    2,144,949Incentive fees
    
    
    1,035,966
    
    
    
    7,533,291
    
    
    
    4,138,088
    
    
    
    29,334,244Other
    
    
    124,495
    
    
    
    168,705
    
    
    
    374,447
    
    
    
    413,160Total expenses
    
    
    7,768,418
    
    
    
    13,029,976
    
    
    
    22,381,780
    
    
    
    45,263,500Net income (loss)
    
    
    (9,949,410
    )
    
    
    16,001,938
    
    
    
    (21,514,589
    )
    
    
    107,033,124Additions  Limited Partner
    
    
    107,453,226
    
    
    
    39,412,000
    
    
    
    242,185,226
    
    
    
    133,428,000Additions  General Partner
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    1,973,412Redemptions  Limited Partners
    
    
    (26,558,490
    )
    
    
    (35,096,381
    )
    
    
    (113,952,130
    )
    
    
    (95,505,564
    )Net increase (decrease) in Partners Capital
    
    
    70,945,326
    
    
    
    20,317,557
    
    
    
    106,718,507
    
    
    
    146,928,972Partners Capital, beginning of period
    
    
    684,660,034
    
    
    
    587,017,171
    
    
    
    648,886,853
    
    
    
    460,405,756Partners Capital, end of period
    
    $
    755,605,360
    
    
    $
    607,334,728
    
    
    $
    755,605,360
    
    
    $
    607,334,728Net Asset Value per Unit
(274,813.5025 and 234,873.9438 Units
outstanding at September 30, 2009 and 2008, respectively)
    
    $
    2,749.52
    
    
    $
    2,585.79
    
    
    $
    2,749.52
    
    
    $
    2,585.79Net income (loss) per Redeemable Unit of Limited Partnership
Interest and General Partner Unit equivalent
    
    $
    (37.87
    )
    
    $
    66.99
    
    
    $
    (87.41
    )
    
    $
    453.20Weighted average units outstanding
    
    
    268,549.9973
    
    
    
    239,017.5072
    
    
    
    250,370.2244
    
    
    
    235,808.4396
   6




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##### Table of Contents



Orion Futures Fund L.P.Notes to Financial StatementsSeptember 30, 2009
    (Unaudited)
  1.
    General:          Form 10-K
           7




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##### Table of Contents



Orion
    Futures Fund L.P.
    Notes to Financial Statements
September 30, 2009
    (Unaudited)
  2.
    Financial
    Highlights:    Three Months Ended
    
    
    Nine Months EndedSeptember 30
    
    
    September 302009
    
    
    2008
    
    
    2009
    
    
    2008Net realized and unrealized gains (losses) *
    
    $
    (17.49
    )
    
    $
    106.74
    
    
    $
    (21.06
    )
    
    $
    597.43Interest income
    
    
    0.67
    
    
    
    7.34
    
    
    
    1.97
    
    
    
    23.79Expenses **
    
    
    (21.05
    )
    
    
    (47.09
    )
    
    
    (68.32
    )
    
    
    (168.02
    )Increase (decrease) for the period
    
    
    (37.87
    )
    
    
    66.99
    
    
    
    (87.41
    )
    
    
    453.20Net Asset Value per Redeemable Unit
of Limited Partnership Interest, beginning of period
    
    
    2,787.39
    
    
    
    2,518.80
    
    
    
    2,836.93
    
    
    
    2,132.59Net Asset
Value per Redeemable Unit of Limited Partnership Interest, end of period
    
    $
    2,749.52
    
    
    $
    2,585.79
    
    
    $
    2,749.52
    
    
    $
    2,585.79
 *
    
    Includes brokerage commissions.**
    
    Excludes brokerage commissions.  Three Months Ended
    
    
    Nine Months EndedSeptember 30
    
    
    September 302009
    
    
    2008
    
    
    2009
    
    
    2008Ratios to Average Net Assets:***Net investment income (loss) before incentive fees****

    
    (3.6
    )%
    
    
    (2.5
    )%
    
    
    (3.5
    )%
    
    
    (2.5
    )%Operating expense

    
    3.7
    %
    
    
    3.7
    %
    
    
    3.6
    %
    
    
    3.9
    %Incentive fees

    
    0.1
    %
    
    
    1.3
    %
    
    
    0.6
    %
    
    
    5.4
    %Total expenses

    
    3.8
    %
    
    
    5.0
    %
    
    
    4.2
    %
    
    
    9.3
    %Total return:Total return before incentive fees

    
    (1.2
    )%
    
    
    3.9
    %
    
    
    (2.6
    )%
    
    
    27.1
    %Incentive fees

    
    (0.2
    )%
    
    
    (1.2
    )%
    
    
    (0.5
    )%
    
    
    (5.8
    )%Total return after incentive fees

    
    (1.4
    )%
    
    
    2.7
    %
    
    
    (3.1
    )%
    
    
    21.3
    %   ***
    
    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
September 30, 2009
    (Unaudited)
          Assets
    
    September 30,2009
    
    Assets
    
    September 30,2009Futures Contracts
    
    
    
    
    
    Forward ContractsCurrencies
    
    $
    1,155,472
    
    
    Metals
    
    $
    2,467,781Grains
    
    
    323,013Interest Rates U.S.
    
    
    310,969Interest Rates Non-U.S.
    
    
    196,233Metals
    
    
    599,362Softs
    
    
    177,001Total unrealized appreciation on open futures contracts
    
    $
    2,762,050
    
    
    Total unrealized appreciation on open forward contracts
    
    $
    2,467,781Liabilities
    
    September 30,2009
    
    Liabilities
    
    September 30,2009Futures Contracts
    
    
    
    
    
    Forward ContractsCurrencies
    
    $
    (33,300
    )
    
    Metals
    
    $
    (2,361,433
    )Energy
    
    
    (974,941
    )Grains
    
    
    (2,450
    )Interest Rates U.S.
    
    
    (9,150
    )Interest Rates Non-U.S.
    
    
    (4,674
    )Livestock
    
    
    (20,070
    )Metals
    
    
    (217,688
    )Softs
    
    
    (30,105
    )Total unrealized depreciation on open futures contracts
    
    $
    (1,292,378
    )
    
    Total unrealized depreciation on open forward contracts
    
    $
    (2,361,433
    )Net unrealized appreciation on open futures contracts
    
    $
    1,469,672
    *
    
    Net
unrealized appreciation on open forwards contract
    
    $
    106,348
    **
 
 *
    
    This amount is included in Net unrealized appreciation on open futures contracts on the
Statements of Financial Condition.**
    
    This amount is included in Net unrealized appreciation on open forward contracts on the
Statements of Financial Condition.  9




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
September 30, 2009
    (Unaudited)
   Three Month Ended
    
    
    Nine Month EndedSeptember 30, 2009
    
    
    September 30, 2009Sector
    
    Gain (loss) from trading
    
    
    Gain (loss) from tradingCurrencies
    
    $
    (1,588,471
    )
    
    $
    (1,850,206
    )Energy
    
    
    (1,080,215
    )
    
    
    (1,005,044
    )Grains
    
    
    60,989
    
    
    
    1,097,454Interest rates U.S.
    
    
    (127,718
    )
    
    
    (1,586,493
    )Interest rates Non-U.S.
    
    
    (334,859
    )
    
    
    (1,219,116
    )Metals
    
    
    (38,540
    )
    
    
    246,275Softs
    
    
    (122,084
    )
    
    
    (928,467
    )Livestock
    
    
    (454,211
    )
    
    
    (455,441
    )$
    (3,685,109
    )
    
    $
    (5,701,038
    )
 4.
    Fair
    Value Measurements:  Investments.
  Fair Value Measurements.
 10




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
September 30, 2009
    (Unaudited)
    Quoted Prices inActive Markets


Significant Other


Significantfor Identical


Observable Inputs


Unobservable9/30/2009


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsForwards

$
106,348


$
106,348


$



$
Futures


1,469,672



1,469,672







Investment in Partnerships


688,746,400







688,746,400



Total assets


690,322,420



1,576,020



688,746,400



Total fair value

$
690,322,420


$
1,576,020


$
688,746,400


$
Quoted Prices inActive Markets


Significant Other


Significantfor Identical


Observable Inputs


Unobservable12/31/2008


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsForwards
    
    $
    144,156
    
    
    $
    144,156
    
    
    $
    
    
    
    $
    Futures
    
    
    1,526,317
    
    
    
    1,526,317
    
    
    
    
    
    
    
    Investment in Partnerships
    
    
    610,171,060
    
    
    
    
    
    
    
    610,171,060
    
    
    
    Total assets


611,841,533



1,670,473



610,171,060



Total fair value
    
    $
    611,841,533
    
    
    $
    1,670,473
    
    
    $
    610,171,060
    
    
    $
     11




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
September 30, 2009
    (Unaudited)
   5.
    Investment
    in Partnerships:             12




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
    September 30, 2009
    (Unaudited)
    give-up,
      September 30, 2009Total Assets
    
    
    Total Liabilities
    
    
    Total CapitalAAA Master


    
    $
    1,933,729,139
    
    
    $
    605,566,558
    
    
    $
    1,328,162,581Willowbridge Master
    
    
    238,192,320
    
    
    
    30,172
    
    
    
    238,162,148Winton Master
    
    
    524,755,608
    
    
    
    442,584
    
    
    
    524,313,024Total
    
    $
    2,696,677,067
    
    
    $
    606,039,314
    
    
    $
    2,090,637,753
  December 31, 2008Total Assets


Total Liabilities


Total CapitalAAA Master

$
1,962,984,697


$
624,353,598


$
1,338,631,099Willowbridge Master


297,439,763



19,759



297,420,004Winton Master


547,770,185



18,642



547,751,543Total

$
2,808,194,645


$
624,391,999


$
2,183,802,646  13




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
    September 30, 2009
    (Unaudited)
   For the three months ended September 30, 2009Gain (Loss) fromTrading, net
    
    
    Total Income (Loss)
    
    
    Net Income (Loss)AAA Master
    
    $
    40,194,995
    
    
    $
    40,401,333
    
    
    $
    39,460,830Winton Master
    
    
    7,322,348
    
    
    
    7,447,037
    
    
    
    7,339,274Willowbridge Master
    
    
    (20,085,700
    )
    
    
    (20,026,877
    )
    
    
    (20,139,642
    )Total
    
    $
    27,431,643
    
    
    $
    27,821,493
    
    
    $
    26,660,462
 For the nine months ended September 30, 2009Gain (Loss) fromTrading, net
    
    
    Total Income (Loss)
    
    
    Net Income (Loss)AAA Master
    
    $
    143,718,324
    
    
    $
    144,327,480
    
    
    $
    141,598,562Winton Master
    
    
    (29,310,166
    )
    
    
    (28,936,214
    )
    
    
    (29,217,064
    )Willowbridge Master
    
    
    (23,802,080
    )
    
    
    (23,622,469
    )
    
    
    (23,895,630
    )Total
    
    $
    90,606,078
    
    
    $
    91,768,797
    
    
    $
    88,485,868
 For the three months ended September 30, 2008Gain (Loss) fromTrading, net
    
    
    Total Income (Loss)
    
    
    Net Income (Loss)AAA Master
    
    $
    193,315,855
    
    
    $
    194,927,645
    
    
    $
    193,836,326Winton Master
    
    
    (39,233,959
    )
    
    
    (37,573,727
    )
    
    
    (37,692,795
    )Willowbridge Master
    
    
    8,930,938
    
    
    
    9,817,051
    
    
    
    9,686,363Total
    
    $
    163,012,834
    
    
    $
    167,170,969
    
    
    $
    165,829,894
 For the nine months ended September 30, 2008Gain (Loss) fromTrading, net
    
    
    Total Income (Loss)
    
    
    Net Income (Loss)AAA Master
    
    $
    395,536,118
    
    
    $
    400,447,961
    
    
    $
    397,460,650Winton Master
    
    
    59,111,379
    
    
    
    64,841,142
    
    
    
    64,405,072Willowbridge Master
    
    
    87,588,256
    
    
    
    90,440,613
    
    
    
    90,089,941Total
    
    $
    542,235,753
    
    
    $
    555,729,716
    
    
    $
    551,955,663
    September 30, 2009


For the three months ended September 30, 2009% of








ExpensesPartnerships


Fair


Income








Net


Investment

RedemptionInvestment

Net Assets


Value


(Loss)


Commissions


Other


income (loss)


Objective

PermittedAAA Master
    
    

    40.46
    %
    
    $
    305,713,895
    
    
    $
    8,683,054
    
    
    $
    181,792
    
    
    $
    29,699
    
    
    $
    8,471,563
    
    

    Energy Markets
    
    MonthlyWillowbridge Master
    
    

    18.30
    %
    
    
    138,253,880
    
    
    
    (10,921,492
    )
    
    
    53,377
    
    
    
    10,614
    
    
    
    (10,985,483
    )


    
    Commodity Portfolio
    
    MonthlyWinton Master
    
    
    32.39
    %
    
    
    244,778,625
    
    
    
    3,719,934
    
    
    
    44,820
    
    
    
    3,948
    
    
    
    3,671,166
    
    
    Commodity Portfolio
    
    MonthlyTotal
    
    
    
    
    
    $
    688,746,400
    
    
    $
    1,481,496
    
    
    $
    279,989
    
    
    $
    44,261
    
    
    $
    1,157,246   14




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##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
    September 30, 2009
    (Unaudited)
  September 30, 2009
    
    
    
    
    
    

For
the nine  months ended

September 30, 2009% of
    
    
    
    
    
    
    
    
    
    
    ExpensesPartnerships
    
    
    Fair
    
    
    Income
    
    
    
    
    
    
    
    
    
    
    Net
    

Investment

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

Objective

PermittedAAA Master
    
    
    40.46
    %
    
    $
    305,713,895
    
    
    $
    29,137,670
    
    
    $
    473,840
    
    
    $
    101,679
    
    
    $
    28,562,151
    
    
    Energy Markets
    
    MonthlyWillowbridge
Master
    
    
    18.30
    %
    
    
    138,253,880
    
    
    
    (11,263,564
    )
    
    
    125,780
    
    
    
    21,365
    
    
    
    (11,410,709
    )


    
    Commodity Portfolio
    
    MonthlyWinton Master
    
    
    32.39
    %
    
    
    244,778,625
    
    
    
    (11,366,577
    )
    
    
    107,240
    
    
    
    11,436
    
    
    
    (11,485,253
    )
    
    Commodity Portfolio
    
    MonthlyTotal
    
    
    
    
    
    $
    688,746,400
    
    
    $
    6,507,529
    
    
    $
    706,860
    
    
    $
    134,480
    
    
    $
    5,666,189
 December 31, 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

PermittedAAA Master
    
    
    40.93
    %
    
    $
    265,560,308
    
    
    $
    37,472,417
    
    
    $
    161,680
    
    
    $
    48,070
    
    
    $
    37,262,667
    
    
    Energy Markets
    
    MonthlyWillowbridge
Master
    
    
    21.12
    %
    
    
    137,021,864
    
    
    
    4,516,430
    
    
    
    54,124
    
    
    
    4,133
    
    
    
    4,458,173

    


    
    Commodity Portfolio
    
    MonthlyWinton Master
    
    
    31.99
    %
    
    
    207,588,888
    
    
    
    (13,937,663
    )
    
    
    41,077
    
    
    
    3,463
    
    
    
    (13,982,203
    )
    
    Commodity Portfolio
    
    MonthlyTotal
    
    
    
    
    
    $
    610,171,060
    
    
    $
    28,051,184
    
    
    $
    256,881
    
    
    $
    55,666
    
    
    $
    27,738,637
 December 31, 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

PermittedAAA Master
    
    
    40.93
    %
    
    $
    265,560,308
    
    
    $
    75,635,358
    
    
    $
    442,024
    
    
    $
    111,949
    
    
    $
    75,081,385
    
    
    Energy Markets
    
    MonthlyWillowbridge
Master
    
    
    21.12
    %
    
    
    137,021,864
    
    
    
    41,096,023
    
    
    
    145,113
    
    
    
    12,266
    
    
    
    40,938,644
    

    
    Commodity Portfolio
    
    MonthlyWinton Master
    
    
    31.99
    %
    
    
    207,588,888
    
    
    
    25,826,961
    
    
    
    157,302
    
    
    
    10,198
    
    
    
    25,659,461
    
    
    Commodity Portfolio
    
    MonthlyTotal
    
    
    
    
    
    $
    610,171,060
    
    
    $
    142,558,342
    
    
    $
    744,439
    
    
    $
    134,413
    
    
    $
    141,679,490
   6.
    Financial
    Instrument Risks:   15




---



##### Table of Contents



Orion Futures Fund L.P.
    Notes to Financial Statements
    September 30, 2009
    (Unaudited)
           16




---



##### Table of Contents



Item 2.
    Managements
    Discussion and Analysis of Financial Condition and Results of
    Operations.  Liquidity
    and Capital Resources
        Critical
    Accounting Policies
  Use of Estimates.
  Statement of Cash Flows.
  Investments.
  Fair Value Measurements.
  17




---



##### Table of Contents



Futures Contracts.
  Forward Foreign Currency Contracts
    London Metals Exchange Forward
    Contracts.
  Options.
  Brokerage Commissions.
  Income Taxes.
 18




---



##### Table of Contents



Recent Accounting Pronouncements.
  Subsequent Events
  Results
    of Operations
           19




---



##### Table of Contents



30-day 3-month and/or 90-day
           20




---



##### Table of Contents



Item 3.
    Quantitative
    and Qualitative Disclosures about Market Risk            one-day
  Form 10-K
    September 30, 2009
    (Unaudited)
  Three Months Ended September 30, 2009Value at


% of Total


High


Low


Average ValueMarket Sector

Risk


Capitalization


Value at Risk


Value at Risk


at Risk*Currencies
    
    $
    1,441,066
    
    
    
    0.19
    %
    
    $
    2,683,324
    
    
    $
    412,155
    
    
    $
    1,214,880Energy
    
    
    1,534,013
    
    
    
    0.20
    %
    
    
    4,112,876
    
    
    
    45,000
    
    
    
    1,639,231Grains
    
    
    431,866
    
    
    
    0.06
    %
    
    
    1,484,580
    
    
    
    339,470
    
    
    
    840,044Interest Rates U.S.
    
    
    824,985
    
    
    
    0.11
    %
    
    
    1,008,315
    
    
    
    103,275
    
    
    
    509,885Interest Rates Non-U.S.
    
    
    1,620,591
    
    
    
    0.21
    %
    
    
    2,000,036
    
    
    
    401,344
    
    
    
    1,051,417Livestock
    
    
    57,720
    
    
    
    0.01
    %
    
    
    64,060
    
    
    
    6,000
    
    
    
    39,369Metals
    
    
    2,134,462
    
    
    
    0.28
    %
    
    
    2,273,753
    
    
    
    388,216
    
    
    
    1,513,345Softs
    
    
    531,300
    
    
    
    0.07
    %
    
    
    534,300
    
    
    
    136,320
    
    
    
    320,262Total
    
    $
    8,576,003
    
    
    
    1.13
    %   *
    
    Average month-end Values at Risk. 21




---



##### Table of Contents



September 30, 2009
    (Unaudited)
  Three months ended September 30, 2009% of Total


High


Low


AverageMarket Sector

Value at Risk


Capitalization


Value at Risk


Value at Risk


Value at Risk*Energy
    
    $
    156,850,602
    
    
    
    11.81
    %
    
    $
    188,797,618
    
    
    $
    153,049,427
    
    
    $
    171,524,611Total
    
    $
    156,850,602
    
    
    
    11.81
    %   *
    
    Average month-end Values at Risk.   September 30, 2009

    (Unaudited)
  Three months ended September 30, 2009Value at
    
    
    % of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    

Value at Risk*Currencies
    
    $
    7,855,650
    
    
    
    3.30
    %
    
    $
    14,208,480
    
    
    $
    2,908,305
    
    
    $
    8,695,042Energy
    
    
    1,451,588
    
    
    
    0.61
    %
    
    
    13,037,019
    
    
    
    685,800
    
    
    
    6,087,536Grains
    
    
    3,415,500
    
    
    
    1.44
    %
    
    
    3,415,500
    
    
    
    1,723,410
    
    
    
    2,429,356Interest Rates U.S.
    
    
    5,191,560
    
    
    
    2.18
    %
    
    
    9,939,105
    
    
    
    507,263
    
    
    
    3,052,277Interest Rates Non-U.S.
    
    
    10,084,707
    
    
    
    4.23
    %
    
    
    14,168,324
    
    
    
    455,649
    
    
    
    7,346,189Livestock
    
    
    273,240
    
    
    
    0.12
    %
    
    
    410,400
    
    
    
    133,110
    
    
    
    209,851Metals
    
    
    8,083,122
    
    
    
    3.39
    %
    
    
    8,372,754
    
    
    
    1,909,575
    
    
    
    5,660,365Softs
    
    
    1,841,840
    
    
    
    0.77
    %
    
    
    2,445,100
    
    
    
    981,960
    
    
    
    1,607,183Total
    
    $
    38,197,207
    
    
    
    16.04
    %
   *
    
    Average of month-end Values at Risk.    September 30, 2009

    (Unaudited)
  Three months ended September 30, 2009% of Total


High


Low


AverageMarket Sector

Value at Risk


Capitalization


Value at Risk


Value at Risk


Value at Risk*Currencies
    
    $
    9,333,591
    
    
    
    1.78
    %
    
    $
    10,700,900
    
    
    $
    8,478,938
    
    
    $
    9,504,427Energy
    
    
    1,240,349
    
    
    
    0.24
    %
    
    
    2,549,525
    
    
    
    703,862
    
    
    
    1,440,952Grains
    
    
    1,718,287
    
    
    
    0.33
    %
    
    
    1,718,287
    
    
    
    1,133,559
    
    
    
    1,432,359Interest Rates U.S.
    
    
    6,173,010
    
    
    
    1.18
    %
    
    
    6,518,610
    
    
    
    2,078,339
    
    
    
    4,522,123Interest Rates Non-U.S.
    
    
    10,044,891
    
    
    
    1.92
    %
    
    
    11,661,822
    
    
    
    4,837,528
    
    
    
    7,726,635Livestock
    
    
    111,186
    
    
    
    0.02
    %
    
    
    227,651
    
    
    
    102,533
    
    
    
    161,785Metals
    
    
    3,879,776
    
    
    
    0.74
    %
    
    
    3,998,291
    
    
    
    1,589,099
    
    
    
    2,918,296Softs
    
    
    585,138
    
    
    
    0.11
    %
    
    
    1,035,185
    
    
    
    385,375
    
    
    
    606,465Indices
    
    
    10,676,526
    
    
    
    2.04
    %
    
    
    10,676,526
    
    
    
    1,905,983
    
    
    
    5,639,298Total
    
    $
    43,762,754
    
    
    
    8.36
    %   *
    
    Average of month-end Values at Risk. 22




---



##### 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.   23




---



##### Table of Contents



PART II.
    OTHER INFORMATION
  Item 1.
    Legal
    Proceedings.  Form 10-K
 Subprime Mortgage-Related Litigation
  Asher, et al. v. Citigroup Inc., et al. Pellegrini v. Citigroup Inc.,
et al. In re Citigroup Inc. Bond Litigation
  Utah Retirement Systems v. Strauss, et al.
  In Re American Home Mortgage Securities Litigation
  In Re American International Group, Inc. 2008 Securities
Litigation
 Auction Rate SecuritiesRelated Litigation and Other Matters
  K-V Pharmaceutical Co. v. CGMI In Re Citigroup Auction Rate Securities Litigation
  In Re Citigroup Auction Rate Securities Litigation
  Ocwen Financial
Corp., et al. v. CGMI In Re Citigroup Auction Rate Securities Litigation
 Other Matters
  ECA
Acquisitions, Inc., et al. v. MAT Three LLC, et al.
 Adelphia Communications Corporation
   IPO Securities Litigation
   Other Matters
  Terra Securities Asa
Konkursbo, et al. v.
Citigroup Inc., et al
 24




---



##### Table of Contents



Item 1A.
    Risk
    Factors  Form 10-K
  Speculative position and trading limits may reduce profitability.
  Regulatory changes could restrict the Partnerships operations.
 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, 2009  
    July 31, 2009



3,429.6868



$
2,767.52




N/A




N/AAugust 1, 2009  
    August 31, 2009



2,479.4941



$
2,747.43




N/A




N/ASeptember 1, 2009  
    September 30, 2009



3,729.5700



$
2,749.52




N/A




N/ATotal



9,638.7509



$
2,755.39       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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##### Table of Contents



Item 6.
    Exhibits 3.1
    
    
    
    Amended and Restated Limited Partnership Agreement (filed as
Exhibit 3.(I) to the general form for registration of
securities on Form 10 filed on December 9, 2003 and
incorporated herein by reference).3.2
    
    
    
    Certificate of Limited Partnership of the Partnership as
filed in the office of the Secretary of State of the State
of the State of New York (filed as Exhibit 3.(I) to the
general form for registration of securities on Form 10 filed
on May 1, 2003 and incorporated herein by reference).(a)
    
    Certificate of Amendment to the Certificate of Limited
Partnership as filed in the office of the Secretary of State
of the State of New York, dated April 3, 2001 (filed as
Exhibit 3.(I) to the general form for registration of
securities on Form 10 filed on May 1, 2003 and incorporated
herein by reference).(b)
    
    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 herein).(c)
    
    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
herein).(d)
    
    Certificate of Amendment to the Certificate of Limited
Partnership as filed in the office of the Secretary of State
of the State of New York, dated August 27, 2008 (filed as
Exhibit 99.1 to current report on Form 8-K filed on
September 2, 2008 and incorporated herein by reference).(e)
    
    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
herein).(f)
    
    Certificate of Amendment to the Certificate of Limited
Partnership as filed in the office of the Secretary of State
of the State of New York, dated September 30, 2009 (filed as
Exhibit 99.1(a) to current report on Form 8-K filed on
September 30, 2009 and incorporated herein by reference).(g)
    
    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
herein).10.1
    
    
    
    Management Agreement among the Partnership, Smith Barney
Futures Management Inc., SFG Global Investments, Inc. and
AAA Capital Management Inc. (filed as Exhibit 10 to the
general form for registration of securities on Form 10 filed
on May 1, 2003 and incorporated herein by reference).10.1
    
    (a)
    
    First Amendment to the Management Agreement among the
Partnership, Smith Barney Futures Management Inc., SFG
Global Investments, Inc. and AAA Capital Management Inc.
(filed as Exhibit 10 to the general form for registration of
securities on Form 10 filed on May 1, 2003 and incorporated
herein by reference).10.1
    
    (b)
    
    Second Amendment to the Management Agreement among Citigroup
Managed Futures LLC and AAA Capital Management Inc. (filed
as Exhibit 33 to the quarterly report on Form 10-Q filed on August 14, 2006 and
incorporated herein by reference).
 26




---



##### Table of Contents



10.1
    
    (c)
    
    Letter extending the Management Agreements between the
General Partner and AAA Capital Management Inc. for 2009
(filed as Exhibit 10.25 to the annual report on Form 10-K
filed March 31, 2009 and incorporated herein by reference).10.2
    
    
    
    Management Agreement among the Partnership, Smith Barney
Futures Management Inc., SFG Global Investments, Inc. and
Willowbridge Associates Inc. (filed as Exhibit 10 to the
general form for registration of securities on Form 10 filed
on May 1, 2003 and incorporated herein by reference).10.2
    
    (a)
    
    First Amendment to the Management Agreement among the
Partnership, Smith Barney Futures Management Inc., SFG
Global Investments, Inc. and Willowbridge Associates Inc.
(filed as Exhibit 10 to the general form for registration of
securities on Form 10 filed on May 1, 2003 and incorporated
herein by reference).10.2
    
    (b)
    
    Letter extending the Management Agreements between the
General Partner and Willowbridge Associates Inc. for 2009
(filed as Exhibit 10.25 to the annual report on Form 10-K
filed March 31, 2009 and incorporated herein by reference).10.3
    
    
    
    Management Agreement among the Partnership, Citigroup
Managed Futures LLC and Winton Capital Management Limited
(filed as Exhibit 10 to the annual report on Form 10-K filed
on March 15, 2004 and incorporated herein by reference).10.3
    
    (a)
    
    Letter extending the Management Agreements between the
General Partner and Winton Capital Management Limited for
2009 (filed as Exhibit 10.25 to the annual report on Form
10-K filed March 31, 2009 and incorporated herein by
reference).10.4
    
    
    
    Amended and Restated Customer Agreement between the
Partnership and Salomon Smith Barney Inc. (filed as Exhibit
10 to the general form for registration of securities on
Form 10 filed on May 1, 2003 and incorporated herein by
reference).10.5
    
    
    
    Second Amended and Restated Agency Agreement between the
Partnership, Ceres Managed Futures LLC, Morgan Stanley Smith
Barney LLC and Citigroup Global Markets Inc. (filed herein).10.6
    
    
    
    Form of Subscription Agreement (filed herein).10.7
    
    
    
    Form of Third-Party Subscription Agreement (filed herein).10.8
    
    
    
    Joinder Agreement among Citigroup Managed Futures LLC,
Citigroup Global Markets Inc. and Morgan Stanley Smith
Barney LLC (filed as Exhibit 10 to the quarterly report on
Form 10-Q filed on August 14, 2009 and incorporated herein
by reference).
     27




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##### Table of Contents



SIGNATURES
     ORION FUTURES FUND L.P.
  By:
    Ceres Managed Futures LLC    By:
    /s/  Jerry
    Pascucci     Date:
    November 16, 2009    By:
    /s/  Jennifer
    Magro      Date:
    November 16, 2009  28