I think I got it!

Code Snippet
  1. var result = quotes
  2.     .Where(q=>q.Symbol=="MSFT")
  3.     .Select(q=> new {q.Close, q.Date, q.High, q.Low})
  4.     .Buffer(5)
  5.     .Select(list => new
  6.     {
  7.         AvgHigh=list.Average(q=>q.High),
  8.         AvgLow=list.Average(q=>q.Low),
  9.         Last=list.Last().Close,
  10.         Date=list.Last().Date
  11.     });