This is just fine but if you add option which is not in optgroup it gets buggy.
<select>_x000D_
<optgroup label="Level One">_x000D_
<option> A.1 </option>_x000D_
<optgroup label=" Level Two">_x000D_
<option> A.B.1 </option>_x000D_
</optgroup>_x000D_
<option> A.2 </option>_x000D_
</optgroup>_x000D_
<option> A </option>_x000D_
</select>
_x000D_
Would be much better if you used css and close optgroup right away :
<select>_x000D_
<optgroup label="Level One"></optgroup>_x000D_
<option style="padding-left:15px"> A.1 </option>_x000D_
<optgroup label="Level Two" style="padding-left:15px"></optgroup>_x000D_
<option style="padding-left:30px"> A.B.1 </option>_x000D_
<option style="padding-left:15px"> A.2 </option>_x000D_
<option> A </option>_x000D_
</select>
_x000D_