The 24-year-old Chinese pulled off a repeat of Friday's immaculate display of nine-under 64 by sinking as many birdies on day three.
That lifted Feng on to 21 under for the tournament, one shot ahead of nearest challenger Stacy Lewis.
The American was another high scorer in a round which had been delayed at the start by heavy fog, but also seemed to relish the conditions as she carded eight birdies, including the final two holes, to go round in 65.
South Korea's Inbee Park moved up two places to third, albeit five shots off the pace, with a seven-under 66 which saw four successive birdies on the back nine but also two dropped shots.
Karrie Webb was another climber and lies seven shots behind Feng on 14 under after the Australian also went round in 66 without any hitches.
Na Yeon Choi rounds off the top five, although her hopes of staying with the leaders were largely ruined by a triple-bogey eight on the ninth as she posted a third-round score of 72.
Overnight leader Jessica Korda also suffered on Saturday, mixing three birdies with four bogeys and a double bogey in a score of three-over 76 to slip down to sixth - 10 shots behind the leader.