Unfortunately, the HTML specification does not define styling on option elements.
Some browsers allow it, some don't. But it's not standard compliant to do so.
http://msdn.microsoft.com/en-us/library/ms535877%28v=vs.85%29.aspx
Except for background-color and color, style settings applied through the style object for the option element are ignored. In addition, style settings applied directly to individual options override those applied to the containing select element as a whole.