Try to convert your code to something like:
<select>
<optgroup label="Swedish Cars">
<option value="volvo">Volvo</option>
<option value="saab">Saab</option>
</optgroup>
<optgroup label="German Cars">
<option value="mercedes">Mercedes</option>
<option value="audi">Audi</option>
</optgroup>
</select>
More info: w3schools optgroup
It's better way to set headings.