this works but I think that you need an example of how to slice this, because of this unless the Symbol is included in the index, then you can't slice it

This works

````
In [48]: data.set_index(['Symbol'],append=True).loc[(330,slice(None),'call'),:]
Out[48]: 
                                               Last  Chg  Bid  Ask  Vol  Open Int   Root IsNonstandard Underlying  Underlying_Price          Quote_Time
Strike Expiry     Type Symbol                                                                                                                          
330    2016-01-15 call AAPL160115C00330000   258.17    0  NaN  NaN    4        43   AAPL         False       AAPL            585.54 2014-05-09 04:00:00
                       AAPL7160115C00330000  270.00    0  NaN  NaN    5        21  AAPL7          True       AAPL            585.54 2014-05-09 04:00:00

[2 rows x 11 columns]
```

but simply slicing will not (though using ``.xs`` on a specific level will work as well)