The Canadian teen made three birdies in the closing holes of the third round on Hainan Island to help herself to a score of 70 (-2).
Combined with her opening rounds of 69 and 75 she now sits in a tie for 9th place.
Her -2 total has her 9 strokes off the lead held by co-leaders Jessica Korda and Minjee Lee.
Henderson is seeking her 15th top ten finish on the LPGA season, one in which she already has two victories.
The two other Canadians in the field, Alena Sharp (+5) and Maude-Aimee LeBlanc (+13) are tied for 41st and 69th, respectively.