How to change selectbox tag to tag using script?

Question

When I change select box, I have displayed select box with some values from DB using ajax like below image,

But I want to display select box like below,

So I tried code to change option tag into optgroup tag using jquery,

function callback() {
    if (req.readyState == 4) {  //complete and response received from server
        if (req.status == 200) { //the status==200 is getting you a message where the server says: 'Hey man I do the work!'
            var message = req.responseText;
            $("#selectboxDivId").html(message);
            var oSrc = document.getElementById('SelectFeatures');
            for (var i = 0; i < oSrc.options.length; i++) {
                if (oSrc.options[i].text=="Game" | oSrc.options[i].text=="Lession" | oSrc.options[i].text=="Summary") {
                    // oSrc.options[i].disabled=true;
                    // $(this).css({ 'color' : 'red','font-size' : '250%'}    );
                    // Here I want to chnage option to optgroup tag!!! how???
                }
            }
        }
    }
}

I hope someone will help me out!