Feng, who last year became the first Chinese player to win an LPGA Tour title and a major event in capturing the LPGA Championship, shot a marvelous 4-under 67 before the wind picked up Saturday and grabbed a three-shot lead heading into the final round.
The round matched the day's best and gave the eighth-ranked Feng a 6-under 136 total on the wind-whipped Bay Course at the Stockton Hotel and Golf Club.
"I think right now I'm in good position this week, and if I can have some good results this week, it's definitely going to give me more confidence for next week," said Feng, referring to her defense of the LPGA championship.
The wind off Reed's Bay was the story. It was mild in the morning when Feng played and then gusted between 20 and 30 mph in the afternoon, leaving players second-guessing club selection and battling inconsistent greens, some of which dried out and didn't hold shots and others that were strangely receptive.
Second-ranked Stacy Lewis shot a 9-over 80, matching her worst round since the third round of U.S. Women's Open last year. She fell from third to a tie for 50th.
The defending champion had three double bogeys, including two on fired eggs in the bunker, and refused to talk to the media immediately after the round.
"Glad that's over! Crazy windy, bumpy greens and a couple fried eggs in the bunker all add up to a lot of shots, hopefully tomorrow is better," she tweeted less than an hour later.
The cut of 6 over was the highest on tour this season.
"We were all struggling, Jeez Louise," said Paula Creamer, who finished on the cut line after playing two days with Lewis and Suzann Pettersen (10 over). "I had a triple yesterday and between the three of us we had three or four doubles. You don't see that. I can't even tell you the last time I had a double, let alone a triple. But it happens on this golf course. I think everybody is taking it seriously but it's hard. It's a different monster out there this year."
Feng got the best of the monster in putting herself in position to win her second LPGA event.
This hasn't' been the best of years for Feng, who won six times in 2012 with three wins coming in Japan and two others on the European tour. While she has three top-10 finishes, her best finish was a tie for seventh in Texas.
Feng said a big part of the problem was playing old clubs because she could not get the ones she wanted from her old sponsor. Her new Japanese sponsor got her the clubs she wanted a couple of weeks ago. She had hoped to play this past week in the Bahamas. However, she missed the event because of a visa problem that was complicated when a U.S. Embassy in Japan closed for a few days after receiving a "powder" in the mail she said.
Feng had little trouble on the golf course Saturday in stark contrast to most of the field. Eight-teen players broke par with only one doing it in the afternoon when Lewis, first-round co-leaders Moriya Jutanugarn of Thailand and Amanda Blumenherst, and Michelle Wie all played.
Jutanugarn, the tour's leading rookie, and Haeji Kang of South Korea shared second at 3 under. Jutanugarn had a 73, and Kang shot 69.
Wie, looking for her first LPGA win in the United States, rolled in four straight birdies on her back nine and was 4 under until a double bogey, bogey finish for a 73 that dropped her to 1 under.
"It was tough out there," said Wie, who hit a couple of shots into the tall grass. "It was really tough out there today. And I just got a little bit unlucky on the last hole. I know I played well today, so just got to go out there and just do the same thing tomorrow and hopefully not get into the fescue."
The 23-year-old Wie was tied for sixth with Karrie Webb, Hee Young Park and Karine Icher and first-round co-leader Amanda Blumenherst, who finished with a double bogey for a 75 after losing a ball on her last hole.
There was a lot of movement on the leaderboard, with those who finished their rounds in the morning making some big moves.
Kang jumped from 12th to a tie for second, and Chie Arimura (67) of Japan and Anna Nordqvist (68) made big moves to finish in a tie for fourth at 2 under.