Options market is an important part of modern financial market. Studying the day-night characteristics of Delta hedging returns in the options market is of great significance for understanding the operation mechanism of the options market and reducing financial market risks. This paper investigates the day-night characteristics of option Delta hedge returns using China's stock ETF option data from 2015 to 2021. The results of the study show that, overall the overnight returns of Delta hedging are negative and the intraday returns are insignificant; the Delta hedging returns of call and put options are asymmetric, that is, call options are negative in the day and positive in the night, while put options are exactly the opposite. The asymmetry anomaly persists even when replaced with a hedging model based on the relationship between volatility and the underlying asset price. These findings are different from the characteristics of Delta hedging returns in the US option market, which are positive during the day and negative overnight. This paper further explores possible causes: in terms of risk premium, volatility risk premium can explain the overall negative overnight hedging returns, but cannot explain the asymmetry of delta hedging returns; in terms of model error, model error and underlying asset returns jointly affect delta hedging returns; in terms of trading rules, T+1 trading rule causes the reversal of the underlying asset's day and night returns, which in turn leads to the asymmetry of hedging returns, and the stronger the T+1 trading rule constraint is, the more obvious the asymmetry of hedging returns is. This article will enrich relevant research on Delta hedging efficiency in China’s option market and the impact of trading systems on financial markets, which is conducive to improving investors’ risk management level and enhancing regulators’ understanding of market behavior, thereby promoting high-quality development of China’s multi-level capital market.