**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, 2008.**




**OR**




** ̈**
            **Transition report pursuant to Section 13 or
              15(d) of the Securities Exchange Act of 1934 for the transition period
              from
                                  
              to
                                  .**




Commission
      file number: 001-34016







**United
      States Heating Oil Fund, LP**


**(Exact
      name of registrant as specified in its charter)**




**Delaware**
            
            **20-8837345****(State
                or other jurisdiction of**
              **incorporation
                or organization)**
            
            **(I.R.S.
                Employer**
              **Identification
                No.)**




**1320
      Harbor Bay Parkway, Suite 145**


**Alameda,
      California 94502**


**(Address
      of principal executive offices) (Zip code)**




**(510)
      522-3336**


**(Registrant’s
      telephone number, including area code)**




**N/A**


**(Former
      name, former address and former fiscal year, if changed since last report)**




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




x Yes  ̈ No




Indicate
      by check mark whether the registrant is a large accelerated filer, an
      accelerated filer, a non-accelerated filer or a smaller reporting company.
      See
      the definitions of “large accelerated filer”, “accelerated filer” and “smaller
      reporting company” in Rule 12b-2 of the Exchange Act. (Check one.)




Large
                  accelerated filer    ̈
              Accelerated
                  filer ̈Non-accelerated
                  filer   x
              Smaller
                  reporting company    ̈(Do
                  not check if a smaller reporting
                  company)




Indicate
      by check mark whether the registrant is a shell company (as defined in Rule
      12b-2 of the Exchange Act.):




 ̈ Yes x No









**UNITED
      STATES HEATING OIL FUND, LP**


**Table
      of Contents**




**Part
                  I. FINANCIAL INFORMATION**
              PageItem
                  1. Condensed Financial Statements.
              1Item
                  2. Management’s Discussion and Analysis of Financial Condition and
                  Results of Operations.
              8Item
                  3. Quantitative and Qualitative Disclosures About Market
                  Risk.
              15Item
                  4. Controls and Procedures.
              16**Part
                  II. OTHER INFORMATION**Item
                  1. Legal Proceedings.
              16Item
                  1A. Risk Factors.
              16Item
                  2. Unregistered Sales of Equity Securities and Use of
                  Proceeds.
              16Item
                  3. Defaults Upon Senior Securities.
              16Item
                  4. Submission of Matters to a Vote of Security Holders.
              16Item
                  5. Other Information.
              17Item
                  6. Exhibits.
              17









**Part
      I.****FINANCIAL
      INFORMATION**





**Item
      1. Condensed Financial Statements.**





***United
                States Heating Oil Fund, LP******Condensed
                Statements of Financial Condition******At
                March 31, 2008 (Unaudited) and December 31,
                2007***




**March
                31, 2008**
            
            
            **December
                31, 2007****Assets**Cash
            
            $
            1,000
            
            $
            1,000**Partners'
                Capital**General
                Partner
            
            $
            20
            
            $
            20Limited
                Partner
            
            
            980
            
            
            980*Total
                Partners' Capital*
            
            $
            1,000
            
            $
            1,000




*See
        accompanying notes to statement of financial condition.*






1




**United** **States Heating Oil Fund, LP**


**Notes
      to Statement of Financial Condition**


**For
      the period ended March 31, 2008 (Unaudited)**




**NOTE
      1 - ORGANIZATION AND BUSINESS**





United
      States Heating Oil Fund, LP (“USHO”) was organized as a limited partnership
      under the laws of the state of Delaware on April 13, 2007. USHO is a commodity
      pool that issues units that may be purchased and sold on the American Stock
      Exchange (the “AMEX”). USHO will continue in perpetuity, unless terminated
      sooner upon the occurrence of one or more events as described in
      its Amended and Restated Agreement of Limited Partnership dated as of March
      7, 2008 (the “LP Agreement”). The investment objective of USHO is for the
      changes in percentage terms of its net asset value to reflect the changes in
      percentage terms of the price of heating oil (also known as No. 2 fuel oil)
      for
      delivery to the New York harbor as measured by the changes in the price of
      the
      futures contract on heating oil as traded on the New York Mercantile Exchange
      (the “NYMEX”) that is the near month contract to expire, except when the near
      month contract is within two weeks of expiration, in which case the futures
      contract will be the next month contract to expire, less USHO’s expenses. USHO
      will accomplish its objective through investments in futures contracts for
      heating oil, crude oil, gasoline, natural gas and other petroleum-based fuels
      that are traded on the NYMEX, ICE Futures or other U.S. and foreign exchanges
      (collectively, “Futures Contracts”) and other heating oil-related investments
      such as cash-settled options on Futures Contracts, forward contracts for heating
      oil and over-the-counter transactions that are based on the price of heating
      oil, crude oil and other petroleum-based fuels, Futures Contracts and indices
      based on the foregoing (collectively, “Other Heating Oil Related Investments”).





USHO
      commenced investment operations on April 9, 2008 and has a fiscal year ending
      on
      December 31. Victoria Bay Asset Management, LLC (the “General Partner”)
      is responsible for the management of USHO. The General Partner is a member
      of the National Futures Association (the “NFA”) and became a commodity pool
      operator with the Commodity Futures Trading Commission effective December 1,
      2005. The General Partner is also the general partner of the United States
      Oil Fund, LP (“USOF”), the United States Natural Gas Fund, LP (“USNG”), the
      United States 12 Month Oil Fund, LP (“US12OF”) and the United States Gasoline
      Fund, LP (“USG”), which listed their units on the AMEX under the ticker
      symbols “USO” on April 10, 2006, “UNG” on April 18, 2007, “USL” on December
      6, 2007 and “UGA” on February 26, 2008, respectively.




The
      accompanying unaudited condensed statement of financial condition has been
      prepared in accordance with Rule 10-01 of Regulation S-X promulgated by
      the U.S. Securities and Exchange Commission (the “SEC”) and, therefore,
      does not include all information and footnote disclosure required under
      accounting principles generally accepted in the United States of
      America. The financial information included herein is unaudited,
      however, such information reflects all adjustments which are, in the
      opinion of management, necessary for the fair presentation of the condensed
      statement of financial condition for the interim period.




USHO issues
      limited partnership interests (“units”) to certain authorized purchasers
      (“Authorized Purchasers”) by offering baskets consisting of 100,000 units
      (“Creation Baskets”) through ALPS Distributors, Inc. (the “Marketing Agent”).
      The purchase price for a Creation Basket is based upon the net asset value
      of
      a unit determined as of 4:00 p.m. New York time on the day the order to
      create the basket is properly received. In addition, Authorized
      Purchasers pay USHO a $1,000 fee for each order to create one or
      more Creation Baskets. Units may be purchased or sold on a nationally
      recognized securities exchange in smaller increments than a Creation Basket.
      Units purchased or sold on a nationally recognized securities exchange are
      not
      made at the net asset value of USHO but rather at market prices quoted on such
      exchange.




In
      April
      2008, USHO initially registered 10,000,000 units on Form S-1 with the SEC.
      On
      April 9, 2008, USHO listed its units on the AMEX under the ticker symbol “UHN”.
      On that day, USHO established its initial net asset value by setting the price
      at $50.00 per unit and issued 200,000 units in exchange for
      $10,001,000. USHO also commenced investment operations on April 9, 2008 by
      purchasing Futures Contracts traded on the NYMEX based on heating oil.




At
      March
      31, 2008, USHO had not generated any revenues since it had not yet commenced
      operations.




2





**NOTE
      2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES**





**Revenue
      Recognition**





Commodity
      futures contracts, forward contracts, physical commodities, and related options
      will be recorded on the trade date. All such transactions will be recorded
      on
      the identified cost basis and marked to market daily. Unrealized gains or losses
      on open contracts will be reflected in the condensed statement of financial
      condition and in the difference between the original contract amount and the
      market value (as determined by exchange settlement prices for futures contracts
      and related options and cash dealer prices at a predetermined time for forward
      contracts, physical commodities, and their related options) as of the last
      business day of the year or as of the last date of the condensed financial
      statements. Changes in the unrealized gains or losses between periods will
      be
      reflected in the condensed statement of operations. USHO will earn interest
      on its assets denominated in U.S. dollars on deposit with the futures commission
      merchant at the 90-day Treasury bill rate. In addition, USHO will earn
      interest on funds held at the custodian at prevailing market rates earned
      on such investments.





**Brokerage
      Commissions**





Brokerage
      commissions on all open commodity futures contracts will be accrued on a
      full-turn basis.




**Income
      Taxes**





USHO
      is
      not subject to federal income taxes; each partner reports its allocable share
      of
      income, gain, loss deductions or credits on its own income tax
      return.




**Additions
      and Redemptions**





Authorized
      Purchasers may purchase Creation Baskets from USHO as of the beginning of each
      business day based upon the prior day’s net asset value. Authorized Purchasers
      may redeem units from USHO only in blocks of 100,000 units called “Redemption
      Baskets”. The amount of the redemption proceeds for a Redemption Basket will be
      equal to the net asset value of the units in the Redemption Basket determined
      as
      of 4:00 p.m. New York time on the day the order to redeem the basket is properly
      received.




USHO
      receives or pays the proceeds from units sold or redeemed one business day
      after
      the trade-date of the purchase or redemption. The amounts due from Authorized
      Purchasers will be reflected in USHO’s condensed statement of
      financial condition as receivable for units sold, and amounts payable to
      Authorized Purchasers upon redemption will be reflected as payable for units
      redeemed.





**Partnership
      Capital and Allocation of Partnership Income and Losses**





Profit
      or
      loss is allocated among the partners of USHO in proportion to the number of
      units each partner holds as of the close of each month. The General Partner
      may
      revise, alter or otherwise modify this method of allocation as described in
      the
      LP Agreement.





**Calculation
      of Net Asset Value**





USHO calculates
      its net asset value on each trading day by taking the current market value
      of
      its total assets, subtracting any liabilities and dividing the amount by the
      total number of units issued and outstanding. USHO will use the closing price
      for the contracts on the relevant exchange on that day to determine the value
      of
      contracts held on such exchange.





**Net
      Income (Loss) per Unit**





Net
      income (loss) per unit is the difference between the net asset value per
      unit at the beginning of each period and at the end of each period. The
      weighted average number of units outstanding was computed for purposes of
      disclosing net loss per weighted average unit. The weighted average units are
      equal to the number of units outstanding at the end of the period, adjusted
      proportionately for units redeemed based on the amount of time the units were
      outstanding during such period. There were no units held by the General Partner
      at March 31, 2008.




3




**Offering
      Costs**





Offering
      costs incurred in connection with the registration of additional units after
      the
      initial registration of units will be borne by USHO. These costs include
      registration fees paid to regulatory agencies and all legal, accounting,
      printing and other expenses associated therewith. These costs will be accounted
      for as a deferred charge and thereafter amortized to expense over twelve months
      on a straight line basis or a shorter period if warranted.





**Cash
      Equivalents**





Cash
      and
      cash equivalents include money market portfolios and overnight time deposits
      with original maturity dates of three months or less.





**Use
      of Estimates**





The
      preparation of condensed financial statements in conformity with accounting
      principles generally accepted in the United States of America requires USHO’s
      management to make estimates and assumptions that affect the reported amount
      of
      assets and liabilities and disclosure of contingent assets and liabilities
      at
      the date of the condensed financial statements, and the reported amounts of
      the revenue and expenses during the reporting period. Actual results could
      differ from those estimates and assumptions.




**NOTE 3
      - FEES PAID BY USHO AND RELATED PARTY TRANSACTIONS**





**General
      Partner Management Fee**





Under
      the LP Agreement, the General Partner is responsible for investing the
      assets of USHO in accordance with the objectives and policies of USHO. In
      addition, the General Partner has arranged for one or more third parties to
      provide administrative, custody, accounting, transfer agency and other necessary
      services to USHO. For these services, USHO is contractually obligated to pay
      the
      General Partner a fee, which will be paid monthly and based on average daily
      net
      assets, that is equal to 0.60% per annum on average daily net assets.




**Ongoing
      Registration Fees and Other Offering Expenses**





USHO
      will
      pay all costs and expenses associated with the
      ongoing registration of units subsequent to the initial offering.
      These costs will include registration or other fees paid to regulatory agencies
      in connection with the offer and sale of units, and all legal, accounting,
      printing and other expenses associated with such offer and sale. For the
      three month period ended March 31, 2008, USHO did not incur registration
      fees or other offering expenses.




**Director’s
      Fees**




USHO
      is
      responsible for paying the fees and expenses, including directors’ and officers’
liability insurance, of the independent directors of the General Partner who
      are
      also audit committee members. USHO shares these fees with USOF, USNG,
      US12OF and USG based on the relative assets of each fund, computed on a daily
      basis. These fees for the calendar year 2008 are estimated to be a total of
      $286,000 for all five funds.




**Licensing
      Fees**




As
      discussed in Note 4, USHO entered into a licensing agreement with the NYMEX
      on May 30, 2007. The agreement has an effective date of April 10, 2006. Pursuant
      to the agreement, USHO and the affiliated funds managed by the General Partner
      pay a licensing fee that is equal to 0.04% for the first $1,000,000,000 of
      combined assets of the funds and 0.02% for combined assets above $1,000,000,000.
      During the three month period ended March 31, 2008, USHO did not incur any
      fees
      under this arrangement.




4




**Investor
      Tax Reporting Cost**





The
      fees
      and expenses associated with USHO’s tax accounting and reporting requirements,
      with the exception of certain initial implementation service fees and base
      service fees which were borne by the General Partner, are paid by
      USHO.  In addition, the General Partner, though under no obligation to
      do so, has agreed to pay certain costs for tax reporting and audit expenses
      normally borne by USHO to the extent that such expenses exceed 0.15% (15 basis
      points) of its NAV, on an annualized basis, until December 31, 2008. The General
      Partner has no obligation to continue such payment into subsequent years. These
      costs are estimated to be $309,794 for the year ending December 31, 2008. For
      the first quarter of 2008, management’s estimated portion of these expenses
      would be $0 under this arrangement since USHO has not yet commenced operations
      at this time.





**Other
      Expenses and Fees**




In
      addition to the fees described above, USHO will pay all brokerage fees,
      taxes and other expenses in connection with the operation of USHO, excluding
      costs and expenses to be paid by the General Partner as outlined in Note
      4.





**NOTE
      4 - CONTRACTS AND AGREEMENTS**





USHO
      is
      party to a marketing agent agreement, dated as of March 10,
      2008 with the Marketing Agent, whereby the Marketing Agent provides
      certain marketing services for USHO as outlined in the agreement. The fee of
      the
      Marketing Agent, which will be borne by the General Partner, will be equal
      to
      0.06% on USHO’s assets up to $3 billion; and 0.04% on USHO’s assets in excess of
      $3 billion.





The
      above
      fees do not include the following expenses, which will also be borne by the
      General Partner: the cost of placing advertisements in various periodicals;
      web
      construction and development; or the printing and production of various
      marketing materials.





USHO
      is
      also party to a custodian agreement, dated March 13, 2008, with Brown Brothers
      Harriman & Co. (“BBH&Co.”), whereby BBH&Co. holds investments on
      behalf of USHO. The General Partner pays the fees of the custodian, which
      shall be determined by the parties from time to time. In addition, USHO is
      party
      to an administrative agency agreement, dated February 7, 2008, with the General
      Partner and BBH&Co., whereby BBH&Co. acts as the administrative agent,
      transfer agent and registrar for USHO. The General Partner also pays the
      fees of BBH&Co. for its services under this agreement and such fees will be
      determined by the parties from time to time.





Currently,
      the General Partner pays BBH&Co. for its services, in the foregoing
      capacities, the greater of a minimum of $125,000 annually or an asset-based
      charge of (a) 0.06% for the first $500 million of USHO’s, USOF’s, USNG’s,
      US12OF’s and USG’s combined net assets, (b) 0.0465% for USHO’s, USOF’s, USNG’s,
      US12OF’s and USG’s combined net assets greater than $500 million but less than
      $1 billion, and (c) 0.035% for USHO’s, USOF’s, USNG’s, US12OF’s and USG’s
      combined net assets in excess of $1 billion. The General Partner will also
      pay a
      $25,000 annual fee for the transfer agency services and transaction fees
      ranging from $7.00 to $15.00 per transaction.





USHO
      has
      entered into a brokerage agreement with UBS Securities LLC (“UBS Securities”).
      The agreement requires UBS Securities to provide services to USHO in connection
      with the purchase and sale of Futures Contracts and Other Heating Oil
      Related Investments that may be purchased and sold by or through UBS Securities
      for USHO’s account. The agreement provides that UBS Securities charge USHO
      commissions of approximately $7 per round-turn trade, plus applicable exchange
      and NFA fees for Futures Contracts and options on Futures
      Contracts.





USHO
      invests primarily in Futures Contracts traded on the NYMEX. On May 30, 2007,
      USHO and the NYMEX entered into a license agreement whereby USHO was granted
      a
      non-exclusive license to use certain of the NYMEX’s settlement prices and
      service marks. The agreement has an effective date of April 10, 2006. Under
      the license agreement, USHO and the affiliated funds managed by the General
      Partner pay the NYMEX an asset-based fee for the license, the terms of which
      are
      described in Note 3.




USHO
        expressly disclaims any association with the NYMEX or endorsement of USHO
        by the
        NYMEX and acknowledges that “NYMEX” and “New York Mercantile Exchange” are
        registered trademarks of the NYMEX.




5




**NOTE
      5 - FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND
      CONTINGENCIES**





USHO engages
      in the speculative trading of  U.S. futures contracts and options on U.S.
      futures contracts (collectively, “derivatives”). USHO is exposed to both market
      risk, which is the risk arising from changes in the market value of the
      contracts, and credit risk, which is the risk of failure by another party to
      perform according to the terms of a contract.





USHO’s
      current intention is to trade contracts that are exchange-traded. The risks
      associated with exchange-traded contracts are generally perceived to be less
      than those associated with over-the-counter transactions since, in
      over-the-counter transactions, USHO must rely solely on the credit of its
      respective individual counterparties. However, in the future, if USHO were
      to enter into non-exchange traded contracts, it would be subject to the credit
      risk associated with counterparty non-performance. The credit risk from
      counterparty non-performance associated with such instruments is the net
      unrealized gain, if any. USHO also has credit risk since the sole counterparty
      to all domestic and foreign futures contracts is the exchange on which the
      relevant contracts are traded. In addition, USHO bears the risk of financial
      failure by the clearing broker.





The
      purchase and sale of futures and options on futures contracts require margin
      deposits with a futures commission merchant. Additional deposits may be
      necessary for any loss on contract value. The Commodity Exchange Act requires
      a
      futures commission merchant to segregate all customer transactions and assets
      from the futures commission merchant’s proprietary activities.





USHO’s
      cash and other property, such as U.S. Treasury Bills, deposited with a futures
      commission merchant are considered commingled with all other customer funds
      subject to the futures commission merchant’s segregation requirements. In the
      event of a futures commission merchant’s insolvency, recovery may be limited to
      a pro rata share of segregated funds available. It is possible that the
      recovered amount could be less than the total of cash and other property
      deposited. The insolvency of a futures commission merchant could result in
      the
      complete loss of USHO’s assets posted with that futures commission merchant;
      however, the vast majority of USHO’s assets are held in Treasuries, cash or cash
      equivalents with USHO’s custodian and would not be impacted by the insolvency of
      a futures commission merchant.





USHO invests
      its cash in money market funds that seek to maintain a stable net asset value.
      USHO is exposed to any risk of loss associated with an investment in these
      money
      market funds.





For
      derivatives, risks arise from changes in the market value of the contracts.
      Theoretically, USHO is exposed to a market risk equal to the value of
      futures contracts purchased and unlimited liability on such contracts sold
      short. As both a buyer and a seller of options, USHO pays or receives a
      premium at the outset and then bears the risk of unfavorable changes in the
      price of the contract underlying the option.





USHO’s
      policy is to continuously monitor its exposure to market and counterparty risk
      through the use of a variety of financial, position and credit exposure
      reporting controls and procedures. In addition, USHO has a policy of
      requiring review of the credit standing of each broker or counterparty with
      which it conducts business.





The
      financial instruments held by USHO will be reported in its condensed
      statement of financial condition at market or fair value, or at carrying amounts
      that approximate fair value, because of their highly liquid nature and
      short-term maturity.




Goldman,
      Sachs & Co. (“Goldman Sachs”) sent USOF a letter on March 17, 2006,
      providing USOF and the General Partner notice under 35 U.S.C. Section 154(d)
      of
      two pending United States patent applications, Publication Nos. 2004/0225593A1
      and 2006/0036533A1. Both patent applications are generally directed to a method
      and system for creating and administering a publicly traded interest in a
      commodity pool. In particular, the abstract of each patent application defines
      a
      means for creating and administering a publicly traded interest in a commodity
      pool that includes the steps of forming a commodity pool having a first position
      in a futures contract and a corresponding second position in a margin
      investment, and issuing equity interests of the commodity pool to third party
      investors. Subsequently, two U.S. patents were issued; the first, patent number
      US7,283,978B2, was issued on October 16, 2007, and the second, patent number
      US7,319,984B2, was issued on January 15, 2008.




Preliminarily,
      USOF’s management is of the view
      that the structure and operations of USOF and its affiliated commodity pools
      do
      not infringe these patents. USOF is also in the process of reviewing prior
      art
      (prior structures and operations of similar investment vehicles) that may
      invalidate one or more of the claims in these patents. In addition, USOF has
      retained patent counsel to advise it on these matters and is in the process
      of
      obtaining their opinions regarding the non-infringement of each of these patents
      by USOF and/or the patents’ invalidity based on prior art. If the patents were
      alleged to apply to USOF’s structure and/or operations, and are found by a court
      to be valid and infringed, Goldman Sachs may be awarded significant monetary
      damages and/or injunctive relief.




6




**NOTE 6
      - RECENTLY ISSUED ACCOUNTING PRONOUNCEMENTS**





**Fair
      Value of Financial Instruments**




Effective
      January 1, 2008, USHO adopted FAS 157 - Fair Value Measurements (“FAS 157” or
      the “Statement”). FAS 157 defines fair value, establishes a framework for
      measuring fair value in generally accepted accounting principles (“GAAP”), and
      expands disclosures about fair value measurement. The changes to current
      practice resulting from the application of the Statement relate to the
      definition of fair value, the methods used to measure fair value, and the
      expanded disclosures about fair value measurement. The Statement establishes
      a
      fair value hierarchy that distinguishes between (1) market participant
      assumptions developed based on market data obtained from sources independent
      of
      USHO (observable inputs) and (2) USHO’s own assumptions about market participant
      assumptions developed based on the best information available under the
      circumstances (unobservable inputs). The three levels defined by the FAS 157
      hierarchy are as follows:




Level
      I -
      Quoted prices (unadjusted) in active markets for *identical* assets
      or liabilities that the reporting entity has the ability to access at the
      measurement date.




Level
      II
      - Inputs other than quoted prices included within Level 1 that are observable
      for the asset or liability, either directly or indirectly. Level II assets
      include the following: quoted prices for *similar* assets
      or liabilities in active markets, quoted prices for identical or similar assets
      or liabilities in markets that are not active, inputs other than quoted prices
      that are observable for the asset or liability, and inputs that are derived
      principally from or corroborated by observable market data by correlation or
      other means (market-corroborated inputs).




Level
      III
      - Unobservable pricing input at the measurement date for the asset or liability.
      Unobservable inputs shall be used to measure fair value to the extent that
      observable inputs are not available.




In
      some
      instances, the inputs used to measure fair value might fall in different levels
      of the fair value hierarchy. The level in the fair value hierarchy within which
      the fair value measurement in its entirety falls shall be determined based
      on
      the lowest input level that is significant to the fair value measurement in
      its
      entirety.




7




**Item 2.** **Management’s Discussion and Analysis of Financial Condition and Results of
      Operations.**




The
      following discussion should be read in conjunction with the condensed financial
      statements and the notes thereto of the United States Heating Oil Fund, LP
      (“USHO”) included elsewhere in this quarterly report on Form 10-Q.




*Forward-Looking
      Information*




This
      quarterly report on Form 10-Q, including this “Management’s Discussion and
      Analysis of Financial Condition and Results of Operations,” contains
      forward-looking statements regarding the plans and objectives of management
      for
      future operations. This information may involve known and unknown risks,
      uncertainties and other factors that may cause USHO’s actual results,
      performance or achievements to be materially different from future results,
      performance or achievements expressed or implied by any forward-looking
      statements. Forward-looking statements, which involve assumptions and
      describe USHO’s future plans, strategies and expectations, are generally
      identifiable by use of the words “may,” “will,” “should,” “expect,”
“anticipate,” “estimate,” “believe,” “intend” or “project,” the negative of
      these words, other variations on these words or comparable terminology. These
      forward-looking statements are based on assumptions that may be incorrect,
      and
      USHO cannot assure investors that the projections included in these
      forward-looking statements will come to pass. USHO’s actual results could
      differ materially from those expressed or implied by the forward-looking
      statements as a result of various factors.




USHO
      has
      based the forward-looking statements included in this quarterly report on Form
      10-Q on information available to it on the date of this quarterly report on
      Form 10-Q, and USHO assumes no obligation to update any such
      forward-looking statements. Although USHO undertakes no obligation to revise
      or
      update any forward-looking statements, whether as a result of new information,
      future events or otherwise, investors are advised to consult any additional
      disclosures that USHO may make directly to them or through reports that
      USHO in the future files with the U.S. Securities and Exchange Commission
      (the “SEC”), including annual reports on Form 10-K, quarterly reports on Form
      10-Q and current reports on Form 8-K.




**Introduction**





USHO,
      a
      Delaware limited partnership, is a commodity pool that issues units that
      may be purchased and sold on the American Stock Exchange (the “AMEX”). The
      investment objective of USHO is for changes in percentage terms of its units’
net asset value (“NAV”) on a daily basis to reflect the changes in percentage
      terms in the price of heating oil, also known as No. 2 fuel oil, for delivery
      to
      the New York harbor, also on a daily basis, as measured by the changes in the
      price of the futures contract on heating oil as traded on the New York
      Mercantile Exchange (the “NYMEX”) that is the near month contract to expire,
      except when the near month contract is within two weeks of expiration, in which
      case the futures contract will be the next month contract to expire, less USHO’s
      expenses.





USHO
      seeks to achieve its investment objective by investing in a combination of
      heating oil futures contracts and other heating oil related investments such
      that changes in USHO’s NAV, measured in percentage terms, will closely
      track the changes in the price of a specified heating oil futures contract
      (the
“Benchmark Futures Contract”), also measured in percentage terms. USHO’s
      General Partner believes the Benchmark Futures Contract historically has
      exhibited a close correlation with the spot price of heating oil. It is not
      the
      intent of USHO to be operated in a fashion such that the NAV will equal, in
      dollar terms, the spot price of heating oil or any particular futures contract
      based on heating oil. Management believes that it is not practical to manage
      the
      portfolio to achieve such an investment goal when investing in listed heating
      oil futures contracts.





On
      any
      valuation day, the Benchmark Futures Contract is the near
      month futures contract for heating oil traded on the NYMEX unless the
      near month contract will expire within two weeks of the valuation day, in which
      case the Benchmark Futures Contract is the next month contract for
      heating oil traded on the NYMEX. “Near month contract” means the next contract
      traded on the NYMEX due to expire. “Next month contract” means the first
      contract traded on the NYMEX due to expire after the near month
      contract.




8





USHO
      may
      also invest in futures contracts for heating oil, crude oil, gasoline, natural
      gas and other petroleum-based fuels that are traded on the NYMEX, ICE Futures
      or
      other U.S. and foreign exchanges (collectively, “Futures Contracts”) and other
      heating oil-related investments such as cash-settled options on Futures
      Contracts, forward contracts for heating oil and over-the-counter transactions
      that are based on the price of heating oil, crude oil and other petroleum-based
      fuels, Futures Contracts and indices based on the foregoing (collectively,
      “Other Heating Oil Related Investments”). For convenience and unless otherwise
      specified, Futures Contracts and Other Heating Oil Related Investments
      collectively are referred to as “Heating Oil Interests” in this quarterly report
      on Form 10-Q.





The
      general partner of USHO, Victoria Bay Asset Management, LLC (the “General
      Partner”), which is registered as a commodity pool operator (“CPO”) with
      the U.S. Commodity Futures Trading Commission (the “CFTC”), is authorized by
      the Amended and Restated Agreement of Limited Partnership of USHO (the “LP
      Agreement”) to manage USHO. The
      General Partner is authorized by USHO in its sole judgment to employ and
      establish the terms of employment for, and termination of, commodity trading
      advisors or futures commission merchants.





**Valuation
      of Futures Contracts and the Computation of the NAV**





The
      NAV
      of USHO units is calculated once each trading day as of the earlier of the
      close
      of the New York Stock Exchange (the “NYSE”) or  4:00 p.m. New
      York time. The NAV for a particular trading day is released after 4:15 p.m.
      New York time. Trading on the AMEX typically closes at 4:15 p.m. New
      York time. USHO uses the NYMEX closing price (determined at the earlier of
      the
      close of the NYMEX or 2:30 p.m. New York time) for the contracts held on
      the NYMEX, but calculates or determines the value of all other USHO investments,
      including ICE Futures or other futures contracts, as of the earlier of
      the close of the NYSE or 4:00 p.m. New York time.




**Management’s
      Discussion of Results of Operations and the Heating Oil
      Market**





*Results
      of Operations.* During
      the three month period ended March 31, 2008, USHO had not yet commenced
      investment activities nor issued units. In addition, USHO did not purchase
      or
      own any Futures Contracts or Other Heating Oil Related Investments during
      this reporting period, nor were there any receipts or disbursements of cash
      from
      USHO during this reporting period. Also, USHO did not receive any revenue or
      capital gains (losses), or incur any expenses during this reporting
      period.




Expenses
      incurred during the first quarter of 2008 in connection with organizing USHO
      and
      the initial offering costs of the units were borne by the General Partner,
      and
      are not subject to reimbursement by USHO.





*Portfolio
      Expenses* .
      USHO’s
      expenses consist of investment management fees, brokerage
      fees and commissions, certain offering costs, licensing fees and the fees
      and expenses of the independent directors of the General Partner. The management
      fee that USHO pays to the General Partner is calculated as a percentage of
      the
      total net assets of USHO. USHO pays the General Partner a management fee of
      0.60% of net assets.  The fee is accrued daily.





USHO pays
      for all brokerage fees, taxes and other expenses, including certain tax
      reporting costs, licensing fees for the use of intellectual property, ongoing
      registration or other fees paid to the SEC, the Financial Industry
      Regulatory Authority (“FINRA”) and any other regulatory agency in
      connection with offers and sales of its units subsequent to the initial offering
      and all legal, accounting, printing and other expenses associated
      therewith. In
      addition, the General Partner, though under no obligation to do so, has agreed
      to pay certain costs for tax reporting and audit expenses normally borne by
      USHO
      to the extent that such expenses exceed 0.15% (15 basis points) of its NAV,
      on
      an annualized basis, until December 31, 2008. The General Partner has no
      obligation to continue such payment into subsequent years. USHO
      is responsible for paying the fees and expenses, including directors’ and
      officers’ liability insurance, of the independent directors of the General
      Partner who are also audit committee members. USHO shares these fees
      with USOF, USNG, US12OF and USG based on the relative assets of each fund
      computed on a daily basis. These fees for calendar year 2008 are estimated
      to be
      a total of $286,000 for all five funds.




USHO
      will
      also incur commissions to brokers for the purchase and sale of Futures
      Contracts, Other Heating Oil Related Investments or short-term obligations
      of the United States of two years or less (“Treasuries”).





*Interest
      Income* .
      USHO
      seeks to invest its assets such that it holds Futures Contracts and Other
      Heating Oil Related Investments in an amount equal to the total net assets
      of
      the portfolio. Typically, such investments do not require USHO to pay the full
      amount of the contract value at the time of purchase, but rather require USHO
      to
      post an amount as a margin deposit against the eventual settlement of the
      contract. As a result, USHO retains an amount that is approximately equal to
      its
      total net assets, which USHO invests in Treasuries, cash and/or cash
      equivalents. This includes both the amount on deposit with the futures
      commission merchant as margin, as well as unrestricted cash held with USHO’s
      custodian bank. The Treasuries, cash and/or cash equivalents earn
      interest that accrues on a daily basis.




9




*Tracking
      USHO’s Benchmark* .
      USHO
      seeks to manage its portfolio such that changes in its average daily NAV, on
      a
      percentage basis, closely track changes in the average of the daily price of
      the
      Benchmark Futures Contract, also on a percentage basis. Specifically, USHO
      seeks to manage the portfolio such that over any rolling period of 30 valuation
      days, the average daily change in the NAV is within a range of 90% to 110%
      (0.9
      to 1.1) of the average daily change of the Benchmark Futures Contract. As
      an example, if the average daily movement of the Benchmark Futures Contract
      for
      a particular 30-day time period was 0.5% per day, USHO management would attempt
      to manage the portfolio such that the average daily movement of the NAV during
      that same time period fell between 0.45% and 0.55% ( *i.e* .,
      between 0.9 and 1.1 of the benchmark’s results). USHO’s portfolio management
      goals do not include trying to make the nominal price of USHO’s NAV equal to the
      nominal price of the current Benchmark Futures Contract or the spot price
      for heating oil. Management believes that it is not practical to manage the
      portfolio to achieve such an investment goal when investing in listed heating
      oil Futures Contracts.




An
      alternative tracking measurement of the return performance of USHO versus the
      return of its Benchmark Futures Contract can be calculated by comparing the
      actual return of USHO, measured by changes in its NAV, versus the *expected* changes
      in its NAV under the assumption that USHO’s returns had been exactly the same as
      the daily changes in its Benchmark Futures Contract.





There
      are
      currently three factors that are most likely to have an impact on USHO’s ability
      to accurately track its Benchmark Futures Contract.





First,
      USHO may buy or sell its holdings in the then current Benchmark Futures Contract
      at a price other than the closing settlement price of that contract on the
      day
      in which USHO executes the trade. In that case, USHO may get a price that is
      higher, or lower, than that of the Benchmark Futures Contract,
      which could cause the changes in the daily NAV of USHO to either be too
      high or too low relative to the changes in the daily benchmark. Management
      will
      attempt to minimize the effect of these transactions by seeking to execute
      its
      purchase or sales of the Benchmark Futures Contracts at, or as close as
      possible to, the end of the day settlement price. However, it may not always
      be
      possible for USHO to obtain the closing settlement price and there is no
      assurance that failure to obtain the closing settlement price in the future
      will
      not adversely impact USHO’s attempt to track its benchmark over
      time.




Second,
      USHO will earn interest on its cash, cash equivalents and Treasury
      holdings. USHO is not required to distribute any portion of its income to its
      unitholders. Interest payments, and any other income, are retained within the
      portfolio and added to USHO’s NAV. When this income exceeds the level of USHO’s
      expenses for its management fee, brokerage commissions and other expenses
      (including ongoing registration fees, licensing fees and the fees and
      expenses of the independent directors of the General Partner), USHO will
      realize a net yield that will tend to cause daily changes in the NAV of USHO
      to
      track slightly higher than daily changes in the Benchmark Futures Contract.




Third,
      USHO may hold Other Heating Oil Related Investments in its portfolio that
      may fail to closely track the Benchmark Futures Contract’s total return
      movements. In that case, the error in tracking the benchmark could result in
      daily changes in the NAV of USHO that are either too high, or too low, relative
      to the daily changes in the benchmark.




During
        the three month period ended March 31, 2008, the prices of front month futures
        contracts for heating oil rose from near the $2.64 per gallon level to
        approximately the $3.04 level. The prices of front month contracts were also
        higher than the prices of second month contracts during this time
        period.


10




*Term
      Structure of Heating Oil Futures Prices and the Impact on Total Returns.* Several
      factors determine the total return from investing in a futures contract
      position. One factor that impacts the total return that will result from
      investing in near month heating oil futures contracts and “rolling” those
      contracts forward each month is the price relationship between the current
      near
      month contract and the later month contracts. For example, if the price of
      the
      near month contract is higher than the next month contract (a situation referred
      to as “backwardation” in the futures market), then absent any other change there
      is a tendency for the price of a next month contract to rise in value as it
      becomes the near month contract and approaches expiration. Conversely, if the
      price of a near month contract is lower than the next month contract (a
      situation referred to as “contango” in the futures market), then absent any
      other change there is a tendency for the price of a next month contract to
      decline in value as it becomes the near month contract and approaches
      expiration.





As
      an
      example, assume that the price of heating oil for immediate delivery (the “spot”
price), was $2.00 per gallon, and the value of a position in the near month
      futures contract was also $2.00. Over time, the price of a gallon of heating
      oil
      will fluctuate based on a number of market factors, including demand for
      heating oil relative to its supply. The value of the near month contract will
      likewise fluctuate in reaction to a number of market factors. If investors
      seek to maintain their holding in a near month contract position and not take
      delivery of the heating oil, every month they must sell their current near
      month
      contract as it approaches expiration and invest in the next month
      contract.





If
      the
      futures market is in backwardation, *e.g.* ,
      when
      the expected price of heating oil in the future would be less, the investor
      would be buying a next month contract for a lower price than the current near
      month contract. Hypothetically, and assuming no other changes to either
      prevailing heating oil prices or the price relationship between the spot price,
      the near month contract and the next month contract (and ignoring the impact
      of
      commission costs and the interest earned on Treasuries, cash and/or cash
      equivalents), the value of the next month contract would rise as it approaches
      expiration and becomes the new near month contract. In this example, the value
      of the $2.00 investment would tend to rise faster than the spot price of heating
      oil, or fall slower. As a result, it would be possible in this hypothetical
      example for the spot price of heating oil to have risen to $2.50 after some
      period of time, while the value of the investment in the futures contract would
      have risen to $2.60, assuming backwardation is large enough or enough time
      has
      elapsed. Similarly, the spot price of heating oil could have fallen to $1.50
      while the value of an investment in the futures contract could have fallen
      to
      only $1.60. Over time, if backwardation remained constant, the difference would
      continue to increase.




If
      the
      futures market is in contango, the investor would be buying a next month
      contract for a higher price than the current near month contract.
      Hypothetically, and assuming no other changes to either prevailing heating
      oil
      prices or the price relationship between the spot price, the near month contract
      and the next month contract (and ignoring the impact of commission costs and
      the
      interest earned on cash), the value of the next month contract would fall as
      it
      approaches expiration and becomes the new near month contract. In this example,
      it would mean that the value of the $2.00 investment would tend to rise slower
      than the spot price of heating oil, or fall faster. As a result, it would be
      possible in this hypothetical example for the spot price of heating oil to
      have risen to $2.50 after some period of time, while the value of the investment
      in the futures contract will have risen to only $2.40, assuming contango is
      large enough or enough time has elapsed. Similarly, the spot price of heating
      oil could have fallen to $1.50 while the value of an investment in the futures
      contract could have fallen to $1.40. Over time, if contango remained constant,
      the difference would continue to increase.




Periods
      of contango and backwardation do not meaningfully impact USHO’s investment
      objective of having percentage changes in its per unit NAV track percentage
      changes in the price of the Benchmark Futures Contract since the impact of
      backwardation and contango tended to equally impact the percentage changes
      in
      price of both USHO’s units and the Benchmark Futures Contract. It is
      impossible to predict with any degree of certainty whether backwardation or
      contango will occur in the future. It is likely that both conditions will occur
      during different periods.





*Heating
      Oil Market.*  During
      the three month period ended March 31, 2008, the price of heating oil in the
      United States, as measured by changes in the price of the futures contract
      traded on the NYMEX that was closest to expiration, rose 15.5% from
      approximately $2.64 a gallon to $3.05 a gallon. However, during the quarter
      prices fluctuated and reached a high of $3.14 a gallon and a low of $2.41 a
      gallon (investors are cautioned that these represent prices for heating oil
      on a
      wholesale basis and should not be directly compared to retail prices).




11




During
      the three month period ended March 31, 2008, the price of crude oil, the raw
      material from which heating oil is refined, rose 5.83% from
      approximately $95.98 to $101.58. The price of crude oil was influenced by
      several factors, including ongoing strong demand for crude oil globally, modest
      increases in the production levels of crude oil, a weakening U.S. dollar which
      tends to make crude oil more expensive in U.S. dollar terms, and continuing
      political uncertainty in certain key oil producing countries.




Management
      believes that over both the medium-term and the long-term, changes in the price
      of crude oil will exert the greatest influence on the price of refined petroleum
      products such as heating oil. At the same time, there can be other factors
      that,
      particularly in the short term, cause the price of heating oil to rise (or
      fall), more (or less) than the price of crude oil. For example, warmer weather
      during the high demand period of the winter season could cause American
      consumers to reduce their heating oil consumption. Furthermore, heating oil
      prices are impacted by the availability of refining capacity. As a result,
      it is
      possible that changes in heating oil prices may not match the changes in crude
      oil prices.





**Critical
      Accounting Policies**





Preparation
      of the condensed financial statements and related disclosures in compliance
      with
      accounting principles generally accepted in the United States of America
      requires the application of appropriate accounting rules and guidance, as well
      as the use of estimates. USHO’s application of these policies involves judgments
      and actual results may differ from the estimates used.




The
      General Partner has evaluated the nature and types of estimates that
      it makes in preparing USHO’s condensed financial statements and related
      disclosures and has determined that the valuation of its investments which
      are not traded on a United States or internationally recognized futures exchange
      (such as forward contracts and over-the-counter contracts) involves a critical
      accounting policy. The values which are used by USHO for its forward contracts
      are provided by its commodity broker who uses market prices when available,
      while over-the-counter contracts are valued based on the present value of
      estimated future cash flows that would be received from or paid to a third
      party
      in settlement of these derivative contracts prior to their delivery date and
      valued on a daily basis. In addition, USHO estimates interest income on a daily
      basis using prevailing interest rates earned on its cash and cash equivalents.
      These estimates are adjusted to the actual amount received on a monthly basis
      and the difference, if any, is not considered material.




**Liquidity
      and Capital Resources**





USHO
      has
      not made, and does not anticipate making, use of borrowings or other lines
      of
      credit to meet its obligations. USHO has met, and it is anticipated that USHO
      will continue to meet, its liquidity needs in the normal course of business
      from
      the proceeds of the sale of its investments or from the Treasuries, cash and/or
      cash equivalents that it intends to hold at all times. USHO’s liquidity needs
      include: redeeming units, providing margin deposits for its existing Futures
      Contracts or the purchase of additional Futures Contracts and posting collateral
      for its over-the-counter contracts and, except as noted below, payment of its
      expenses, summarized below under “Contractual Obligations.”





USHO will
      generate cash primarily from (i) the sale of Creation Baskets and (ii) interest
      earned on Treasuries, cash and/or cash equivalents. USHO will allocate
      substantially all of its net assets to trading in Heating Oil Interests. USHO
      will invest in Heating Oil Interests to the fullest extent possible without
      being leveraged or unable to satisfy its current or potential margin or
      collateral obligations with respect to its investments in Futures Contracts
      and
      Other Heating Oil Related Investments. A significant portion of the NAV will
      be
      held in cash and cash equivalents that will be used as margin and as
      collateral for USHO’s trading in Heating Oil Interests. The percentage that
      Treasuries will bear to the total net assets will vary from period to
      period as the market values of the Heating Oil Interests change. The balance
      of
      the net assets will be held in USHO’s Futures Contracts and Other Heating
      Oil Related Investments trading account. Interest earned on USHO’s
      interest-bearing funds will be paid to USHO.





USHO’s
      investment in Heating Oil Interests may be subject to periods of illiquidity
      because of market conditions, regulatory considerations and other reasons.
      For
      example, most commodity exchanges limit the fluctuations in Futures
      Contracts prices during a single day by regulations referred to as “daily
      limits.” During a single day, no trades may be executed at prices beyond the
      daily limit. Once the price of a Futures Contract has increased or
      decreased by an amount equal to the daily limit, positions in the contracts
      can
      neither be taken nor liquidated unless the traders are willing to effect trades
      at or within the specified daily limit. Such market conditions could prevent
      USHO from promptly liquidating its positions in Futures
      Contracts.




12




To
      date,
      all of USHO’s expenses, including its organizational and offering expenses
      related to the initial offering of its units, have been paid by the General
      Partner. Fees and expenses associated with the registration of units with the
      SEC subsequent to the initial offering will be borne by USHO. In addition,
      fees
      and expenses (including directors’ and officers’ liability insurance)
      of the independent directors of the General Partner, the management fee paid
      to
      the General Partner, certain tax reporting fees, brokerage fees and
      licensing fees will be paid directly by USHO. In
      addition, the General Partner, though under no obligation to do so, has agreed
      to pay certain costs for tax reporting and audit expenses normally borne by
      USHO
      to the extent that such expenses exceed 0.15% (15 basis points) of its NAV,
      on
      an annualized basis, until December 31, 2008. The General Partner has no
      obligation to continue such payment into subsequent years. If the
      General Partner and USHO are unsuccessful in raising sufficient funds to cover
      USHO’s expenses or in locating any other source of funding, USHO will terminate
      and investors may lose all or part of their investment.





**Market
      Risk**





Trading
      in Futures Contracts and Other Heating Oil Related Investments, such as
      forwards, involves USHO entering into contractual commitments to purchase
      or sell heating oil at a specified date in the future. The gross or face amount
      of the contracts will significantly exceed USHO’s future cash requirements
      since USHO intends to close out its open positions prior to settlement. As
      a
      result, USHO is generally only subject to the risk of loss
      arising from the change in value of the contracts. USHO considers the “fair
      value” of its derivative instruments to be the unrealized gain or loss on the
      contracts. The market risk associated with USHO’s commitments to purchase
      heating oil is limited to the gross face amount of the contracts held. However,
      should USHO enter into a contractual commitment to sell heating oil, it would
      be
      required to make delivery of the heating oil at the contract price, repurchase
      the contract at prevailing prices or settle in cash. Since there are no limits
      on the future price of heating oil, the market risk to USHO could be unlimited.




USHO’s
      exposure to market risk depends on a number of factors, including the
      markets for heating oil, the volatility of interest rates and foreign exchange
      rates, the liquidity of the Futures Contracts and Other Heating Oil Related
      Investments markets and the relationships among the contracts held by USHO.
      The
      limited experience that USHO has had in utilizing its model to trade in
      Heating Oil Interests in a manner intended to track the changes in the spot
      price of heating oil, as well as drastic market occurrences, could ultimately
      lead to the loss of all or substantially all of an investor’s
      capital.




**Credit
      Risk**





When
      USHO
      enters into Futures Contracts and Other Heating Oil Related Investments, it
      will be exposed to the credit risk that the counterparty will not be able to
      meet its obligations. The counterparty for the Futures Contracts traded on
      the NYMEX and on most other foreign futures exchanges is the clearinghouse
      associated with the particular exchange. In general, clearinghouses are backed
      by their members who may be required to share in the financial burden resulting
      from the nonperformance of one of their members and, therefore, this additional
      member support should significantly reduce credit risk. Some foreign exchanges
      are not backed by their clearinghouse members but may be backed by a consortium
      of banks or other financial institutions. There can be no assurance that any
      counterparty, clearinghouse, or their members or their financial backers will
      satisfy their obligations to USHO in such circumstances.




The
      General Partner attempts to manage the credit risk of USHO by following
      various trading limitations and policies. In particular, USHO will generally
      post margin and/or hold liquid assets that are approximately equal to the face
      amount of its obligations to counterparties under the Futures Contracts and
      Other Heating Oil Related Investments it holds. The General Partner has
      implemented procedures that include, but are not limited to, executing and
      clearing trades only with creditworthy parties and/or requiring the posting
      of
      collateral or margin by such parties for the benefit of USHO to limit its credit
      exposure. UBS Securities LLC, USHO’s commodity broker, or any other broker that
      may be retained by USHO in the future, when acting as USHO’s futures commission
      merchant in accepting orders to purchase or sell Futures Contracts on United
      States exchanges, is required by CFTC regulations to separately
      account for and segregate as belonging to USHO, all assets of USHO relating
      to
      domestic Futures Contracts trading. These futures commission merchants are
      not
      allowed to commingle USHO’s assets with its other assets. In addition, the CFTC
      requires commodity brokers to hold in a secure account the USHO assets related
      to foreign Futures Contracts trading.




13




**Off
      Balance Sheet Financing**





As
      of
      March 31, 2008, USHO has no loan guarantee, credit support or other off-balance
      sheet arrangements of any kind other than agreements entered into in the normal
      course of business, which may include indemnification provisions relating to
      certain risks that service providers undertake in performing services which
      are
      in the best interests of USHO. While USHO’s exposure under these indemnification
      provisions cannot be estimated, they are not expected to have a material impact
      on USHO’s financial position.





**Redemption
      Basket Obligation**





In
      order
      to meet its investment objective and pay its contractual obligations described
      below, USHO requires liquidity to redeem units, which redemptions must be
      in blocks of 100,000 units called Redemption Baskets. USHO intends to satisfy
      this obligation by paying from the cash or cash equivalents it holds or through
      the sale of its Treasuries in an amount proportionate to the number of
      units being redeemed.




**Contractual
      Obligations**





USHO’s
      primary contractual obligations are with the General Partner. In return for
      its
      services, the General Partner is entitled to a management fee calculated as
      a
      fixed percentage of USHO’s NAV, currently 0.60% of USHO’s NAV for its average
      net assets.




The
      General Partner agreed to pay the start-up costs associated with the
      formation of USHO, primarily its legal, accounting and other costs in connection
      with the General Partner’s registration with the CFTC as a CPO and the
      registration and listing of USHO and its units with the SEC, FINRA and the
      AMEX, respectively. However, the costs of registering and listing additional
      units of USHO with the SEC are directly borne on an ongoing basis by USHO,
      and
      not by the General Partner.





The
      General Partner pays the fees of USHO’s marketing agent, ALPS Distributors,
      Inc., and the fees of the custodian and transfer agent, Brown Brothers Harriman
      & Co. (“BBH&Co.”), as well as BBH&Co.’s fees for performing
      administrative services, including in connection with the preparation of USHO’s
      condensed financial statements and its SEC and CFTC reports. The General Partner
      and USHO have also entered into a licensing agreement with the NYMEX
      pursuant to which USHO and the affiliated funds managed by the General Partner
      pay a licensing fee to the NYMEX The General Partner also pays any fees for
      implementation of services and base service fees charged by the accounting
      firm
      responsible for preparing USHO’s tax reporting forms; however, USHO pays the
      fees and expenses associated with its tax accounting and reporting requirements. In
      addition, the General Partner, though under no obligation to do so, has agreed
      to pay certain costs for tax reporting and audit expenses normally borne by
      US HO to the extent that such expenses exceed 0.15% (15 basis points) of its NAV,
      on
      an annualized basis, until December 31, 2008. The General Partner has no
      obligation to continue such payment into subsequent years.





In
      addition to the General Partner’s management fee, USHO pays its brokerage fees
      (including fees to a futures commission merchant), over-the-counter dealer
      spreads, any licensing fees for the use of intellectual property, registration
      and, subsequent to the initial offering, the fees paid to the SEC, FINRA, or
      other regulatory agencies in connection with the offer and sale of units, as
      well as legal, printing, accounting and other expenses associated therewith,
      and
      extraordinary expenses. The latter are expenses not incurred in the ordinary
      course of USHO’s business, including expenses relating to the indemnification of
      any person against liabilities and obligations to the extent permitted by law
      and under the LP Agreement, the bringing or defending of actions in law or
      in
      equity or otherwise conducting litigation and incurring legal expenses and
      the
      settlement of claims and litigation. Commission payments to a futures commission
      merchant are on a contract-by-contract, or round turn, basis.  USHO also
      pays a portion of the fees and expenses of the independent directors of the
      General Partner.  See Note 3 to the Notes to Condensed Statement of
      Financial Condition (Unaudited).




14




The
      parties cannot anticipate the amount of payments that will be required under
      these arrangements for future periods, as USHO’s NAVs and trading levels to meet
      its investment objectives will not be known until a future date. These
      agreements are effective for a specific term agreed upon by the parties with
      an
      option to renew, or, in some cases, are in effect for the duration of USHO’s
      existence. Either party may terminate these agreements earlier for certain
      reasons described in the agreements.





**Item 3.****Quantitative and Qualitative Disclosures About Market
      Risk.**





***Over-the-Counter
      Derivatives (Including Spreads and Straddles)***




In
      the
      future, USHO may purchase over-the-counter contracts. Unlike most of the
      exchange-traded heating oil Futures Contracts or exchange-traded options on
      such
      futures, each party to an over-the-counter contract bears the credit risk that
      the other party may not be able to perform its obligations under its
      contract.




Some
      heating oil-based derivatives transactions contain fairly generic terms and
      conditions and are available from a wide range of participants. Other heating
      oil-based derivatives have highly customized terms and conditions and are not
      as
      widely available. Many of these over-the-counter contracts are cash-settled
      forwards for the future delivery of heating oil- or petroleum-based fuels that
      have terms similar to the Futures Contracts. Others take the form of “swaps” in
      which the two parties exchange cash flows based on pre-determined formulas
      tied
      to the spot price of heating oil, forward heating oil prices or heating oil
      futures prices. For example, USHO may enter into over-the-counter derivative
      contracts whose value will be tied to changes in the difference between
      the spot price of heating oil, the price of Futures Contracts traded
      on the NYMEX and the prices of other Futures Contracts that may be invested
      in by USHO.




To
      protect itself from the credit risk that arises in connection with such
      contracts, USHO may enter into agreements with each counterparty that provide
      for the netting of its overall exposure to its counterparty, such as the
      agreements published by the International Swaps and Derivatives Association,
      Inc. USHO also may require that the counterparty be highly rated and/or
      provide collateral or other credit support to address USHO’s exposure to the
      counterparty. In addition, it is also possible for USHO and its counterparty
      to
      agree to clear their agreement through an established futures clearing house
      such as those connected to the NYMEX or the ICE Futures. In that event, USHO
      would no longer have credit risk of its original counterparty, as the
      clearinghouse would now be USHO’s counterparty. USHO would still retain any
      price risk associated with its transaction.




The
      creditworthiness of each potential counterparty is assessed by the General
      Partner. The General Partner assesses or reviews, as appropriate, the
      creditworthiness of each potential or existing counterparty to an
      over-the-counter contract pursuant to guidelines approved by the General
      Partner’s board of directors. Furthermore, the General Partner on behalf of USHO
      only enters into over-the-counter contracts with (a) members of the Federal
      Reserve System or foreign banks with branches regulated by the Federal Reserve
      Board; (b) primary dealers in U.S. government securities; (c) broker-dealers;
      (d) commodities futures merchants; or (e) affiliates of the foregoing. Existing
      counterparties are also reviewed periodically by the General
      Partner.





USHO
      anticipates that the use of Other Heating Oil-Related Investments together
      with
      its investments in Futures Contracts will produce price and total return results
      that closely track the investment goals of USHO.





USHO
      may
      employ spreads or straddles in its trading to mitigate the differences in its
      investment portfolio and its goal of tracking the price of the
      Benchmark Futures Contract. USHO would use a spread when it chooses to take
      simultaneous long and short positions in futures written on the same underlying
      asset, but with different delivery months. The effect of holding such combined
      positions is to adjust the sensitivity of USHO to changes in the price
      relationship between futures contracts which will expire sooner and those that
      will expire later. USHO would use such a spread if the General Partner felt
      that
      taking such long and short positions, when combined with the rest of its
      holdings, would more closely track the investment goals of USHO, or if the
      General Partner felt it would lead to an overall lower cost of trading to
      achieve a given level of economic exposure to movements in heating oil prices.
      USHO would enter into a straddle when it chooses to take an option position
      consisting of a long (or short) position in both a call option and put option.
      The economic effect of holding certain combinations of put options and call
      options can be very similar to that of owning the underlying futures contracts.
      USHO would make use of such a straddle approach if, in the opinion of the
      General Partner, the resulting combination would more closely track the
      investment goals of USHO or if it would lead to an overall lower cost of trading
      to achieve a given level of economic exposure to movements in heating oil
      prices.




During
      the three months ended March 31, 2008, USHO
      did not employ any hedging methods. Therefore, USHO was not exposed to
      counterparty risk.




15


**Item 4**.**Controls
      and Procedures.**




**Disclosure
      Controls and Procedures**




USHO
      maintains disclosure controls and procedures that are designed to ensure that
      material information required to be disclosed in USHO’s periodic reports
      filed or submitted under the Securities Exchange Act of 1934, as amended, is
      recorded, processed, summarized and reported within the time period specified
      in
      the SEC’s rules and forms.




The
      duly
      appointed officers of the General Partner, including its chief executive
      officer and chief financial officer, who perform functions equivalent
      to those of a principal executive officer and principal financial officer of
      USHO if USHO had any officers, have evaluated the effectiveness of USHO’s
      disclosure controls and procedures and have concluded that the disclosure
      controls and procedures of USHO have been effective as of the end of the period
      covered by this
      quarterly report.





**Change
      in Internal Control Over Financial Reporting**




There
      were no changes in USHO’s internal control over financial reporting during
      USHO’s last fiscal quarter that have materially affected, or are reasonably
      likely to materially affect, USHO’s internal control over financial
      reporting.





**Part
      II.**  **OTHER
      INFORMATION**




**Item
      1. Legal Proceedings.**





Not
      applicable.





**Item
      1A. Risk Factors.**





There
      has
      not been a material change from the risk factors previously disclosed in USHO’s
      Registration Statement on Form S-1, which was declared effective by the SEC
      on
      April 8, 2008.





**Item
      2. Unregistered Sales of Equity Securities and Use of
      Proceeds.**





Not
      applicable.





**Item
      3. Defaults Upon Senior Securities.**





Not
      applicable.





**Item
      4. Submission of Matters to a Vote of Security Holders.**





Not
      applicable.






16




Item 5.Other
      Information.




**Monthly
      Account Statements**




Pursuant
      to the requirement under part 4.22 of the Commodity Exchange Act, each month
      USHO publishes an account statement for its unitholders, which includes a
      Statement of Income (Loss) and a Statement of Changes in NAV. The account
      statement is filed with the SEC on a current report on Form 8-K pursuant to
      Section 13 or 15(d) of the Exchange Act and posted each month on USHO’s website
      at www.unitedstatesheatingoilfund.com.




**Item 6.****Exhibits.**




Listed
      below are the exhibits which are filed or furnished as part of this quarterly
      report on Form 10-Q (according to the number assigned to them in Item 601
      of Regulation S-K):




**Exhibit**
                **Number**
              **Description
                of Document****10.1***
              License Agreement.**31.1****
              Certification by Principal
                Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act
                of
                2002.**31.2****
              Certification
                  by Principal Financial Officer Pursuant to Section 302 of the
                  Sarbanes-Oxley Act of 2002.**32.1*****
              Certification
                  by Principal Executive Officer Pursuant to 18 U.S.C. Section 1350,
                  As
                  Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of
                  2002.**32.2*****
              Certification
                  by Principal Financial Officer Pursuant to 18 U.S.C. Section 1350,
                  As
                  Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of
                  2002.




*
              Incorporated
                  by reference to United States Natural Gas Fund, LP’s Quarterly Report on
                  Form 10-Q for the Quarter ended March 31, 2007, filed on June 1,
                  2007.**
              Filed herewith***
              Furnished
                herewith




17




**SIGNATURES**




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





**United
      States Heating Oil Fund, LP (Registrant)**


By:
      Victoria Bay Asset Management, LLC, its general partner





By:
      /s/ Nicholas D. Gerber


Nicholas
      D. Gerber


Chief
      Executive Officer





Date:  May
      22, 2008





By:
      /s/ Howard Mah


Howard
      Mah


Chief
      Financial Officer





Date:  May
      22, 2008





18