The sparkling round despite the windy conditions gave the Dane a 12-under 204 for the tournament and a three-stroke lead over Nicolas Colsaerts and Andrew Parr, who also carded a 67 for the round.
Olesen scored an eagle on the 14th hole and dropped in a long birdie putt on No. 18 as the field battled cold gusty 25 mile-per-hour winds that had spectators at the Verdura Golf and Spa Resort bundled up in sweaters and warm hats.
"Sometimes the gusts were so strong, especially on the coast, that you just got blown away," Olesen said. "It was tough just to stand up sometimes, let alone play golf."
The wind broke up a six-player deadlock at the top of the leader board after Friday's second round. Peter Lawrie managed to shoot par Saturday but slid into fourth place. Another second-round leader, Jamie Donaldson carded an 80 and fell all the way to 53rd.