**UNITED
      STATES**


**SECURITIES
      AND EXCHANGE COMMISSION**


**Washington,
      D.C. 20549**




**FORM
      10-Q**




**x**
            **Quarterly
                report pursuant to Section 13 or 15(d) of the Securities Exchange Act
                of 1934 for the quarterly period ended****September****30,
                2008.**


**OR**


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





Large
                accelerated filer o
            Accelerated
                filer oNon-accelerated
                filer x
            Smaller
                reporting company o(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**




**Page****Part
                  I. FINANCIAL INFORMATION**Item
                  1. Condensed Financial Statements.
              
              1Item
                  2. Management’s Discussion and Analysis of Financial Condition and
                  Results of Operations.
              
              14Item
                  3. Quantitative and Qualitative Disclosures About Market
                  Risk.
              
              26Item
                  4. Controls and Procedures.
              
              27**Part
                  II. OTHER INFORMATION**Item
                  1. Legal Proceedings.
              
              28Item
                  1A. Risk Factors.
              
              28Item
                  2. Unregistered Sales of Equity Securities and Use of
                  Proceeds.
              
              28Item
                  3. Defaults Upon Senior Securities.
              
              28Item
                  4. Submission of Matters to a Vote of Security Holders.
              
              28Item
                  5. Other Information.
              
              28Item
                  6. Exhibits.
              
              28


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





**Item
      1. Condensed Financial Statements.**





**Index
      to Condensed Financial Statements**




**Page****Documents**Condensed
                Statements of Financial Condition at September 30, 2008 (Unaudited)
                and
                December 31, 2007
            
            
            2Condensed
                Schedule of Investments (Unaudited) at September 30, 2008
            
            
            3Condensed
                Statements of Operations (Unaudited) for the three months ended September
                30, 2008 and the period from April 9, 2008 (commencement of operations)
                to
                September 30, 2008
            
            
            4Condensed
                Statement of Changes in Partners’ Capital (Unaudited) for the period from
                April 9, 2008 (commencement of operations) to September 30,
                2008
            
            
            5Condensed
                Statements of Cash Flows (Unaudited) for the period from April 9,
                2008
                (commencement of operations) to September 30, 2008 and the period
                from
                April 13, 2007 (inception) through December 31, 2007.
            
            
            6Notes
                to Condensed Financial Statements for the period from April 9, 2008
                (commencement of operations) to September 30, 2008
                (Unaudited)
            
            
            7





1




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


***Condensed
      Statements of Financial Condition***


***At
      September 30, 2008 (Unaudited) and December 31, 2007***





**September 30, 2008**
            
            **December 31, 2007****Assets**Cash
                and cash equivalents
            
            $
            7,773,773
            
            $
            1,000Equity
                in UBS Securities LLC trading accounts:Cash
            
            
            894,386
            
            
            -Unrealized
                gain on open commodity futures contracts
            
            
            504,118
            
            
            -Interest
                receivable
            
            
            12,667
            
            
            -Receivable
                from general partner
            
            
            190,237
            
            
            -*Total
                assets*
            
            $
            9,375,181
            
            $
            1,000**Liabilities
                and Partners' Capital**General
                Partner management fees (Note 3)
            
            $
            4,958
            
            $
            -Brokerage
                commissions payable
            
            
            485
            
            
            -Other
                liabilities
            
            
            206,551
            
            
            -*Total
                liabilities*
            
            
            211,994
            
            
            -**Commitments
                and Contingencies**(Notes 3, 4 and 5)**Partners'
                Capital**General
                Partner
            
            
            -
            
            
            20Limited
                Partners
            
            
            9,163,187
            
            
            980*Total
                Partners' Capital*
            
            
            9,163,187
            
            
            1,000*Total
                liabilities and partners' capital*
            
            $
            9,375,181
            
            $
            1,000Limited
                Partners' units outstanding
            
            
            200,000Net
                asset value per unit
            
            $
            45.82Market
                value per unit
            
            $
            46.07




*See
      accompanying notes to condensed financial statements.*


2





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


***Condensed
      Schedule of Investments (Unaudited)***


***At
      September 30, 2008***





**Open
      Futures Contracts**





**Number
                of**
              **Contracts**
            
            **Gain
                on**
              **Open**
              **Commodity**
              **Contracts**
            
            **%
                of**
              **Partners'**
              **Capital****United
                States Contracts**Heating
                Oil Futures contracts, expire November 2008
            
            
            75
            
            $
            504,118
            
            
            5.50**Cash
                Equivalents**
            
            
            **Cost**
            
            
            **Market**
                **Value****United
                States - Money Market Funds**Goldman
                Sachs Financial Square Funds - Government Fund
            
            $
            4,069,845
            
            $
            4,069,845
            
            
            44.42Goldman
                Sachs Financial Square Funds - Treasury Instruments Fund
            
            
            2,003,172
            
            
            2,003,172
            
            
            21.86$
            6,073,017
            
            $
            6,073,017
            
            
            66.28**Cash**
            
            
            
            
            
            1,700,756
            
            
            18.56**Total
                Cash and Cash Equivalents**
            
            
            
            
            
            7,773,773
            
            
            84.84**Cash
                on deposit with broker**
            
            
            
            
            
            894,386
            
            
            9.76**Liabilities,
                less receivables**
            
            
            
            
            
            (9,090
            )
            
            (0.10
            )**Total
                Partners' Capital**
            
            
            
            
            $
            9,163,187
            
            
            100.00





*See
      accompanying notes to condensed financial statements.*


3





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


***Condensed
      Statements of Operations (Unaudited)***


***For
      the three months ended September 30, 2008 and the period from April 9,
      2008***


***(commencement
      of operations) to September 30, 2008***





**Period from****Three months ended**
            
            **April 9, 2008 to****September 30, 2008**
            
            **September 30, 2008****Income**Gains
                (losses) on trading of commodity futures contracts:Realized
                losses on closed positions
            
            $
            (5,160,725
            )
            $
            (1,815,446
            )Change
                in unrealized gains on open positions
            
            
            247,645
            
            
            504,118Interest
                income
            
            
            70,272
            
            
            136,595Other
                income
            
            
            1,000
            
            
            3,000*Total
                loss*
            
            
            (4,841,808
            )
            
            (1,171,733
            )**Expenses**General
                Partner management fees (Note 3)
            
            
            22,202
            
            
            44,904Brokerage
                commissions
            
            
            2,423
            
            
            5,914Other
                expenses
            
            
            108,756
            
            
            208,567*Total
                expenses*
            
            
            133,381
            
            
            259,385K-1
                tax expense waiver
            
            
            (75,565
            )
            
            (144,900
            )Audit
                fees waiver
            
            
            (23,972
            )
            
            (45,337
            )*Net
                expenses*
            
            
            33,844
            
            
            69,148**Net
                loss**
            
            $
            (4,875,652
            )
            $
            (1,240,881
            )**Net
                loss per limited partnership unit**
            
            $
            (17.31
            )
            $
            (4.18
            )**Net
                loss per weighted average limited partnership
                unit**
            
            $
            (18.01
            )
            $
            (4.47
            )**Weighted
                average limited partnership units****outstanding**
            
            
            270,652
            
            
            277,714




*See
      accompanying notes to condensed financial statements.*


4





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


***Condensed
      Statement of Changes in Partners' Capital (Unaudited)***


***For
      the period from April 9, 2008 (commencement of operations) to September 30,
      2008***





**General Partner**
            
            **Limited Partners**
            
            **Total****Balances,
                at April 9, 2008**
            
            $
            20
            
            $
            980
            
            $
            1,000Addition
                of 300,000 partnership units
            
            
            -
            
            
            15,303,202
            
            
            15,303,202Redemption
                of 100,000 partnership units
            
            
            (20
            )
            
            (4,900,114
            )
            
            (4,900,134
            )Net
                loss
            
            
            -
            
            
            (1,240,881
            )
            
            (1,240,881
            )**Balances,
                at September 30, 2008**
            
            $
            -
            
            $
            9,163,187
            
            $
            9,163,187**Net
                Asset Value Per Unit**At
                April 9, 2008 (commencement of operations)
            
            $
            50.00At
                September 30, 2008
            
            $
            45.82





*See
      accompanying notes to condensed financial statements.*


5





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


***Condensed
      Statements of Cash Flows (Unaudited)***


***For
      the period from April 9, 2008 (commencement of operations) to September 30,
      2008***


***and
      the period from April 13, 2007 (inception) to September 30,
      2007***





**Period from**
            
            **Period from****April 9, 2008 to**
            
            **April 13, 2007 to****September 30, 2008**
            
            **September 30, 2007****Cash
                Flows from Operating Activities:**Net
                loss
            
            $
            (1,240,881
            )
            $
            -Adjustments
                to reconcile net loss to net cash used in operating
                activities:Increase
                in commodity futures trading account - cash
            
            
            (894,386
            )
            
            -Unrealized
                gains on futures contracts
            
            
            (504,118
            )
            
            -Increase
                in interest receivable and other assets
            
            
            (202,904
            )
            
            -Increase
                in management fees payable
            
            
            4,958
            
            
            -Increase
                in commissions payable
            
            
            485
            
            
            -Increase
                in other liabilities
            
            
            206,551
            
            
            -*Net
                cash used in operating activities*
            
            
            (2,630,295
            )
            
            -**Cash
                Flows from Financing Activities:**Subscription
                of partnership units
            
            
            15,303,202
            
            
            1,000Redemption
                of partnership units
            
            
            (4,900,134
            )
            
            -*Net
                cash provided by financing activities*
            
            
            10,403,068
            
            
            1,000**Net
                Increase in Cash and Cash Equivalents**
            
            
            7,772,773
            
            
            1,000**Cash
                and Cash Equivalents**, beginning of period
            
            
            1,000
            
            
            -**Cash
                and Cash Equivalents**, end of period
            
            $
            7,773,773
            
            $
            1,000





*See
      accompanying notes to condensed financial statements.*




6


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


**Notes
      to Condensed Financial Statements**


**For
      the period from April 9, 2008 (commencement of operations) to September 30,
      2008
      (Unaudited)**




**NOTE
      1 - ORGANIZATION AND BUSINESS**





The
      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
      accomplishes 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”).
      As of September 30, 2008, USHO held 75 Futures Contracts traded on the
      NYMEX.





USHO
      commenced investment operations on April 9, 2008 and has a fiscal year ending
      on
      December 31. United States Commodity Funds LLC (formerly known as 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 limited partnership 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 financial statements have 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, do 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 financial
      information reflects all adjustments which are, in the opinion of management,
      necessary for the fair presentation of the condensed financial statements 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 the earlier of the close of the New York Stock
      Exchange (the “NYSE”) or 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
      purchased or sold 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. As of September 30, 2008,
      USHO had registered a total of 10,000,000 units.


7


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





**Revenue
      Recognition**





Commodity
      futures contracts, forward contracts, physical commodities, and related options
      are recorded on the trade date. All such transactions are recorded on the
      identified cost basis and marked to market daily. Unrealized gains or losses
      on
      open contracts are 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 are
      reflected in the condensed statement of operations. USHO earns 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 earns 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 are 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.




**Creations
      and Redemptions**





Authorized
      Purchasers may purchase units (“Creation Baskets”) or redeem units (“Redemption
      Baskets”) only in blocks of 100,000 units equal to the net asset value of the
      units determined as of the earlier of the close of the NYSE or 4:00 p.m. New
      York time on the day the order is placed.




USHO
      records units sold or redeemed one business day after the trade date of the
      purchase or redemption. The amounts due from Authorized Purchasers are
      reflected in USHO’s condensed statement of financial condition as
      receivable for units sold, and amounts payable to Authorized Purchasers upon
      redemption are 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 uses 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 income (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 September 30, 2008.


8




**Offering
      Costs**





Offering
      costs incurred in connection with the registration of additional units after
      the
      initial registration of units are 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 funds and overnight deposits or 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 is 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
      pays
      all costs and expenses associated with the ongoing registration
      of units subsequent to the initial offering. These costs 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 period from April 9, 2008 to
      September 30, 2008, USHO did not incur registration fees or other offering
      expenses.




**Directors’
      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 period from April 9, 2008 to September 30, 2008, USHO incurred $2,366
      under this arrangement.


9





**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.
 
 **Other
        Expenses and Fees and Expense Waivers**
  In
        addition to the fees described above, USHO pays all brokerage fees, taxes
        and
        other expenses in connection with the operation of USHO, excluding costs
        and
        expenses paid by the General Partner as outlined in Note 4. In
        addition, the General Partner, though under no obligation to do so, has agreed
        to pay certain 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 $99,730 for the year ending December 31, 2008.
        For the
        period from April 9, 2008 to September 30, 2008, management’s estimated portion
        of these expenses would be $84,992 under this arrangement.





**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 is borne by the General Partner, is 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
      fee does not include the following expenses, which are also 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
      are 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 are
      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 also pays
      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.





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





USHO engages
      in the speculative trading of futures contracts and options on 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.


10





All
      of
      the contracts currently traded by USHO 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. Treasuries, 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 and/or
      cash equivalents with USHO’s custodian and would not be impacted by the
      insolvency of a futures commission merchant. Also, the failure or insolvency
      of
      USHO’s custodian could result in a substantial loss of USHO’s
      assets.





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. As of September 30, 2008, USHO had deposits in domestic and
      foreign financial institutions , including
      cash investments in money market funds, in the amount of $8,668,159. This amount
      is subject to loss should these institutions cease operations.





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 are 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.




**NOTE 6
      - FINANCIAL HIGHLIGHTS**





The
      following table presents per unit performance data and other supplemental
      financial data for the period from April 9, 2008 to September 30, 2008 for
      the
      limited partners. This information has been derived from information presented
      in the condensed financial statements.


11





**For the period from****April 9, 2008****(commencement of operations)****to September 30, 2008****(Unaudited)****Per
                Unit Operating Performance:**Net
                asset value, beginning of period
            
            $
            50.00Total
                loss
            
            
            (3.93
            )Net
                expenses
            
            
            (0.25
            )Net
                decrease in net asset value
            
            
            (4.18
            )Net
                asset value, end of period
            
            $
            45.82**Total
                Return**
            
            
            (8.36
            )%**Ratios
                to Average Net Assets**Total
                loss
            
            
            (7.49
            )%Expenses
                excluding management fees*
            
            
            (0.32
            )%Management
                fees*
            
            
            (0.60
            )%Net
                loss
            
            
            (7.93
            )%





*Annualized





Total
      returns are calculated based on the change in value during the period. An
      individual limited partner’s total return and ratio may vary from the above
      total returns and ratios based on the timing of contributions to and withdrawals
      from USHO.





**NOTE 7 –
      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).


12


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.




The
      following table summarizes the valuation of USHO’s securities at September 30,
      2008 using the fair value hierarchy:


**At September
                  30, 2008**
              
              **Total**
              
              **Level I**
              
              **Level II**
              
              **Level III**Investments
              
              $
              6,073,017
              
              $
              6,073,017
              
              $
              -
              
              $
              -Derivative
                  assets
              
              
              504,118
              
              
              504,118
              
              
              -
              
              
              -





**NOTE 8 –
      SUBSEQUENT EVENTS**





On September 18, 2008, USHO announced that it would transfer the listing of its
      limited partnership units that are listed on the AMEX to the NYSE Arca, Inc.
      in
      connection with NYSE Euronext’s acquisition of the AMEX. USHO expects
      that the listing transfer will occur sometime during the fourth quarter of
      2008.


13


**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”). On September 18, 2008, USHO announced that it would transfer the listing of its
      limited partnership units that are listed on the AMEX to the NYSE Arca, Inc.
      in
      connection with NYSE Euronext’s acquisition of the AMEX. USHO expects that the
      listing transfer will occur sometime during the fourth quarter of 2008. 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 its 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.


14


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, United States Commodity Funds LLC (formerly, 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 NYSE typically closes at 4:00 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 contracts 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.* On
      April
      9, 2008, USHO listed its units on the AMEX under the ticker symbol “UHN.” On
      that day, USHO established its initial offering price at $50.00 per unit and
      issued 200,000 units to the initial authorized purchaser Merrill Lynch, in
      exchange for $10,001,000 in cash. As of September 30, 2008, USHO had issued
      300,000 units, 200,000 of which were outstanding. As of September 30, 2008,
      there were 9,700,000 units registered but not yet issued.




More
      units may have been issued by USHO than are outstanding due to the redemption
      of
      units. Unlike funds that are registered under the Investment Company Act of
      1940, as amended, units that have been redeemed by USHO cannot be resold by
      USHO. As a result, USHO contemplates that additional offerings of its units
      will
      be registered with the SEC in the future in anticipation of additional
      issuances and redemptions.





As
      of
      September 30, 2008, the total unrealized gain on heating oil Futures Contracts
      owned or held on that day was $504,118 and USHO established cash deposits,
      including cash investments in money market funds, that were equal to $8,668,159.
      The majority of cash assets were held in overnight deposits at USHO’s custodian
      bank, while 10.32% of the cash balance was held with the futures commission
      merchant as margin deposits for the Futures Contracts purchased. The ending
      per
      unit NAV on September 30, 2008 was $45.82.





*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.





During
      the period from April 9, 2008 to September 30, 2008, the daily average total
      net
      assets of USHO were $15,652,343. During the period from April 9, 2008
      to September 30, 2008, the management fee paid by USHO amounted to $44,904,
      and
      was accrued daily. Management fees as a percentage of average net assets
      averaged 0.60% over the course of this period.


15


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. For the period from April 9, 2008 to September 30, 2008, USHO
      did not incur any ongoing registration fees or other offering expenses. 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
      also
      incurs 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”). During the period from April
      9, 2008 to September 30, 2008, total commissions paid to brokers amounted to
      $5,914. Prior to the initial offering of its units, USHO had estimated that
      its
      annual level of such commissions was expected to be 0.09% of total net
      assets. As an annualized percentage of average net assets, the figure for
      the period from April 9, 2008 to September 30, 2008 represented approximately
      0.08% of average net assets. However, there can be no assurance that commission
      costs and portfolio turnover will not cause commission expenses to rise in
      future quarters.




*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. For the period from April 9, 2008 to
      September 30, 2008, USHO earned $136,595 in interest income on such cash
      holdings. Based on USHO’s average daily total net assets during this time
      period, this is equivalent to an annualized yield of 1.82%.




*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’s 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.





For
      the
      30 valuation days ended September 30, 2008,
      the simple average daily change in the Benchmark Futures Contract was (0.217)%,
      while the simple average daily change in the NAV of USHO over the same time
      period was (0.215)%. The average daily difference was 0.001 (or 0.1 basis
      points, where 1 basis point equals 1/100 of 1%). As a percentage of the daily
      movement of the Benchmark Futures Contract, the average error in daily tracking
      by the NAV was 0.221%, meaning that over this time period USHO’s tracking error
      was within the plus or minus 10% range established as its benchmark tracking
      goal.





Since
      the
      offering of USHO units to the public on April 9, 2008 to September 30,
      2008, the simple average daily change in the Benchmark Futures Contract was
      (0.045)%, while the simple average daily change in the NAV of USHO over the
      same
      time period was (0.042)%. The average daily difference was 0.003% (or 0.3 basis
      points, where 1 basis point equals 1/100 of 1%). As a percentage of the daily
      movement of the Benchmark Futures Contract, the average error in daily
      tracking by the NAV was 0.468%, meaning that over this time period USHO’s
      tracking error was within the plus or minus 10% range established as its
      benchmark tracking goal.




16











****PAST
      PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
      RESULTS***




17











****PAST
      PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
      RESULTS***





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.





For
      the
      period from April 9, 2008 to September 30, 2008, the actual total return of
      USHO
      as measured by changes in its NAV was (8.36)%. This is based on an initial
      NAV of $50.00 on April 9, 2008 and an ending NAV as of September 30,
      2008 of $45.82. During this time period, USHO made no distributions to its
      unitholders. However, if USHO’s daily changes in its NAV had instead exactly
      tracked the changes in the daily return of the Benchmark Futures Contract,
      USHO
      would have ended the third quarter of 2008 with an estimated NAV of $45.63,
      for a total return over the relevant time period of (8.74)%. The difference
      between the actual NAV total return of USHO of (8.36)% and the expected total
      return based on the Benchmark Futures Contract of (8.74)% was an error over
      the
      time period of 0.38%, which is to say that USHO’s actual total return exceeded
      the benchmark result by that percentage. Management believes that a portion
      of
      the difference between the actual return and the expected benchmark return
      can
      be attributed to the impact of the interest that USHO collects on its cash
      and
      cash equivalent holdings. In addition, during the period from April 9, 2008
      to
      September 30, 2008, USHO also collected fees from brokerage firms creating
      or
      redeeming baskets of units. This income also contributed to USHO’s actual return
      exceeding the benchmark results. However, if the total assets of USHO continue
      to increase, management believes that the impact on total returns of these
      fees
      from creations and redemptions will diminish as a percentage of the total
      return.





There
      are
      currently three factors that have impacted, during the latest period, or
      are most likely to impact, USHO’s ability to accurately track its
      Benchmark Futures Contract.


18


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. During the
      period from April 9, 2008 to September 30, 2008, management attempted to
      minimize the effect of these transactions by seeking to execute its purchases
      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 earns interest on its cash, cash equivalents and Treasury holdings.
      USHO is not required to distribute any portion of its income to its unitholders
      and did not make any distributions to unitholders during the period from April
      9, 2008 to September 30, 2008. Interest payments, and any other income, were
      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. During the period from April 9, 2008 to
      September 30, 2008, USHO earned, on an annualized basis, approximately 1.82%
      on
      its cash holdings. It also incurred cash expenses on an annualized basis of
      0.60% for management fees and approximately 0.08% in brokerage commission costs
      related to the purchase and sale of futures contracts, and 0.24% for other
      expenses. The foregoing fees and expenses resulted in a net yield on an
      annualized basis of approximately 0.90% and affected USHO’s ability to track its
      benchmark. If short-term interest rates rise above the current levels, the
      level
      of deviation created by the yield would increase. Conversely, if short-term
      interest rates were to decline, the amount of error created by the yield would
      decrease. If short-term yields drop to a level lower than the combined expenses
      of the management fee and the brokerage commissions, then the tracking error
      would become a negative number and would tend to cause the daily returns of
      the
      NAV to underperform the daily returns of 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 period from April 9, 2008
      to
      September 30, 2008, USHO did not hold any Other Heating Oil-Related Investments.
      However, there can be no assurance that in future quarters USHO will not make
      use of such Other Heating Oil-Related Investments.





During
      the period from April 9, 2008 to September 30, 2008, the prices of front month
      Benchmark Futures Contracts fell from near the $3.1102 per gallon level to
      approximately the $2.8947 level. The
      prices of front month contracts were also lower than the prices of second month
      contracts during the early part of this time period, a condition in the futures
      markets referred to as “contango.” In the middle part of the time period, the
      prices of front month contracts were higher than the prices of the second month,
      a condition in the futures market referred to as “backwardation.” The heating
      oil futures market finished the third quarter of 2008 in a contango market.
      The
      relationship between the prices of different months of the same futures
      contracts, the “term structure of futures prices,” can have a major impact on
      the total return of owning such futures contracts over time.





*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 position in a near month contract 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.


19


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 price of spot 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 or 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 period of approximately six months starting from the commencement of
      operations, April 9, 2008, and ended September 30, 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, fell 10.5% from
      approximately $3.23 a gallon to $2.89 a gallon. However, during the quarter
      ended September 30, 2008, prices fluctuated and reached a high of $4.10 a gallon
      and a low of $2.71 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).




During
      the period of approximately six months starting from the commencement of
      operations, April 9, 2008, and ended September 30, 2008, the price of crude
      oil,
      the raw material from which heating oil is refined, fell 8.6% from approximately
      $110.19 to $100.64. 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. Crude oil peaked in price
      in
      mid-July of 2008, having reached a price of over $145.00 a barrel. However,
      sharply declining U.S. demand for crude oil as well as a slow-down in demand
      outside of the U.S. contributed to a very large drop in the price of crude
      oil.


20


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.




*Heating
      Oil Price Movements in Comparison to other Energy Commodities and Investment
      Categories.* The
      General Partner believes that investors frequently measure the degree to which
      prices or total returns of one investment or asset class move up or down in
      value in concert with another investment or asset class. Statistically, such
      a
      measure is usually done by measuring the correlation of the price movements
      of
      the two different investments or asset classes over some period of time. The
      correlation is scaled between 1 and -1, where 1 indicates that the two
      investment options move up or down in price or value together, known as
“positive correlation,” and -1 indicating that they move in completely opposite
      directions, known as “negative correlation.” A correlation of 0 would mean that
      the movements of the two are neither positively or negatively correlated, known
      as “non-correlation.” That is, the investment options sometimes move up and down
      together and other times move in opposite directions.


For
        the
        ten year time period between 1997 and 2007, the chart below compares the
        monthly
        movements of heating oil versus the monthly movements of several other energy
        commodities, natural gas, crude oil, and unleaded gasoline, as well as several
        major non-commodity investment asset classes such as large cap U.S. equities,
        U.S. government bonds and global equities. It can be seen that over this
        particular time period, the movement of heating oil on a monthly basis was
        NOT
        strongly correlated, positively or negatively, with the movements of large
        cap
        U.S. equities, U.S. government bonds or global equities. However, movements
        in
        heating oil had a strong positive correlation to movements in crude oil and
        unleaded gasoline. Finally, heating oil had a positive, but weaker, correlation
        with natural gas.
 
 10
                  Year Correlation Matrix 1997-2007
              
              Large
                  Cap U.S. Equities (S&P 500)
              
              U.S.
                  Govt. Bonds (EFFAS U.S. Government Bond Index)
              
              Global
                  Equities (FTSE World Index)
              
              Unleaded
                  Gasoline
              
              Natural
                  Gas
              
              Crude
                  Oil
              
              **Heating
                  Oil**Large
                  Cap U.S. Equities (S&P 500)
              
              1
              
              -0.237
              
              0.949
              
              -0.087
              
              -0.008
              
              -0.037
              
              **-0.065**US
                  Govt. Bonds (EFFAS U.S. Government Bond Index)
              
              
              
              1
              
              -0.259
              
              -0.175
              
              0.197
              
              0.033
              
              **0.065**Global
                  Equities (FTSE World Index)
              
              
              
              
              
              1
              
              0.124
              
              0.029
              
              0.040
              
              **-0.003**Unleaded
                  Gasoline
              
              
              
              
              
              
              
              1
              
              0.267
              
              0.634
              
              **0.663**Natural
                  Gas
              
              
              
              
              
              
              
              
              
              1
              
              0.344
              
              **0.480**Crude
                  Oil
              
              
              
              
              
              
              
              
              
              
              
              1
              
              **0.802**Heating
                  Oil
              
              
              
              
              
              
              
              
              
              
              
              
              
              **1**source:
                  Bloomberg, NYMEX
   *PAST
        PERFORMANCE IS NOT NECESSARILY
        INDICATIVE OF FUTURE RESULTS*
 21
  
 Investors
        are cautioned that the historical price relationships between heating oil
        and
        various other energy commodities, as well as other investment asset classes,
        as
        measured by correlation may not be reliable predictors of future price movements
        and correlation results. The results pictured above would have been different
        if
        a different range of dates had been selected. The General Partner believes
        that
        heating oil has historically not demonstrated a strong correlation with equities
        or bonds over long periods of time. However, the General Partner also believes
        that in the future it is possible that heating oil could have long term
        correlation results that indicate prices of heating oil more closely track
        the
        movements of equities or bonds. In addition, the General Partner believes
        that,
        when measured over time periods shorter than ten years, there will always
        be
        some periods where the correlation of heating oil to equities and bonds will
        be
        either more strongly positively correlated or more strongly negatively
        correlated than the long term historical results suggest.
 
 The
        chart
        below covers a more recent, but much shorter, range of dates than the above
        chart. Over the nine months ended September 30, 2008, heating oil continued
        to
        have a strong positive correlation with crude oil and unleaded gasoline.
        During
        this period it also had a stronger correlation with the movements of natural
        gas
        than it had displayed over the prior ten year period. Notably, the correlation
        between heating oil and both large cap U.S. equities and global equities,
        which
        had been essentially non-correlated over the prior ten years, displayed results
        that indicated that they had a weak but positive correlation over this shorter
        time period, particularly due to the recent downturn in the U.S. economy.
        Finally, the results showed that crude oil and U.S. government bonds, which
        had
        essentially been non-correlated for the prior ten year period, were weakly
        negatively correlated over this more recent time period.
 
 Correlation
                  Matrix 2008 YTD (9 months)
              
              Large
                  Cap U.S. Equities (S&P 500)
              
              U.S.
                  Govt. Bonds (EFFAS U.S. Government Bond Index)
              
              Global
                  Equities (FTSE World Index)
              
              Unleaded
                  Gasoline
              
              Natural
                  Gas
              
              Crude
                  Oil
              
              **Heating
                  Oil**Large
                  Cap U.S. Equities (S&P 500)
              
              1
              
              -0.641
              
              0.920
              
              0.565
              
              -0.152
              
              0.289
              
              **0.214**US
                  Govt. Bonds (EFFAS U.S. Government Bond Index)
              
              
              
              1
              
              -0.682
              
              -0.581
              
              -0.045
              
              -0.507
              
              **-0.414**Global
                  Equities (FTSE World Index)
              
              
              
              
              
              1
              
              0.760
              
              0.108
              
              0.575
              
              **0.496**Unleaded
                  Gasoline
              
              
              
              
              
              
              
              1
              
              0.650
              
              0.923
              
              **0.900**Natural
                  Gas
              
              
              
              
              
              
              
              
              
              1
              
              0.771
              
              **0.805**Crude
                  Oil
              
              
              
              
              
              
              
              
              
              
              
              1
              
              **0.914**Heating
                  Oil
              
              
              
              
              
              
              
              
              
              
              
              
              
              **1**source:
                  Bloomberg, NYMEX
 
 ***PAST
        PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE
        RESULTS***
 22


**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 currently
      generates cash primarily from (i) the sale of Creation Baskets and (ii) interest
      earned on Treasuries, cash and/or cash equivalents. USHO has allocated
      substantially all of its net assets to trading in Heating Oil Interests. USHO
      invests 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 is held in
      cash and cash equivalents that are 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 is held in USHO’s Futures Contracts and Other Heating
      Oil-Related Investments trading account. Interest earned on USHO’s
      interest-bearing funds is 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. During
      the period from April 9, 2008 to September 30, 2008, USHO was not forced to
      purchase or liquidate any of its positions while daily limits were in effect;
      however, USHO cannot predict whether such an event may occur in the
      future.


23


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
      is 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 generally posts
      margin and/or holds 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.


24


As
      of
      September 30, 2008, USHO had deposits in domestic and foreign financial
      institutions , including
      cash investments in money market funds, in the amount of $8,668,159. This amount
      is subject to loss should these institutions cease operations.





**Off
      Balance Sheet Financing**





As
      of
      September 30, 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 has to date
      satisfied 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, offering costs incurred in connection with
      registering and listing additional units of USHO 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, and,
      subsequent to the initial offering, registration and other 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 Financial Statements (Unaudited).


25


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 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 such 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) commodity 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.


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During
      the period from April 9, 2008 to September 30, 2008, USHO did not employ any
      hedging methods such as those described above since all of its investments
      were
      made over an exchange. Therefore, USHO was not exposed to counterparty
      risk.





**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.


27


**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.





**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****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.





*****  Filed
      herewith


******   Furnished
      herewith


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**SIGNATURES**




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





**United
                States Heating Oil Fund, LP (Registrant)**By:
            United States Commodity Funds LLC, its general partner
              (formerly known as Victoria Bay Asset Management, LLC)By:
            /s/
                Nicholas D. GerberNicholas
                D. GerberChief
                Executive OfficerDate:
                November 14, 2008By:
            /s/
                Howard MahHoward
                MahChief
                Financial Officer





Date:  November
      14, 2008


29