Only Swede Helen Alfredsson has gone lower at the U.S. Open, shooting a 63 in the first round in 1994, while Kelli Kuehne,Becky Iverson, Lorie Kane and Chella Choi have all carded 64s.
“Everything was good, like driver is good and then (my) irons were good,” South Korean Lee told reporters after covering her back nine in a sizzling five-under 31.
“Putting, a couple of missed putts, but not bad. It's good ... just good play.
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“The course is perfect now."
Things were not quite so simple for world number one Ko,second-ranked Henderson and No.4 Thompson, who played together in the afternoon when the wind picked up and the greens got firmer.
The threesome combined to make 14 bogeys with Ko finishing with a 1-over 73, Thompson a 74 and Henderson a four-over 76.
Cristie Kerr, the 2007 champion, is three strokes adrift along with Australia's Minjee Lee and South Korean Amy Yang.
Brittany Lang, Swede Anna Nordqvist and Malaysia's Kelly Tan are one shot further back.
Kerr relished playing the opening round with the pacesetting Lee.
"Yeah, it definitely helps,” said the 38-year-old, who has won 18 LPGA titles, including two majors. "And it was fun. If you looked at Mi-rim's card and my card, we might have shot a 59 best ball, or close to it.
“You would expect the USGA (United States Golf Association) is not too happy with that score, so it will be interesting what they come up with for the rest of the week.”
Defending champion Chun In-gee of South Korea launched her title defence with a one-over 73.
(Editing by Peter Rutherford)
