try
$("select").find("option:selected").last().closest("optgroup").attr("label")
test on this fiddle.
if you want to accept this solution, consider to accept sudhar's solution instead, as he was the first to psot the main issue (he should add the last()
method call, of course).
edit: the op actually wanted the most recently selected item reported. this one does the trick:
$("select").click( function(eve) {
alert($(eve.target).closest("optgroup").attr("label"));
});
test on this fiddle