zgrep -- help OPTIONs are the same as for 'grep'.
zgrep -r
/usr/bin/zgrep: -r: option not supported
zgrep -R
/usr/bin/zgrep: -R: option not supported
zgrep --recursive
/usr/bin/zgrep: --recursive: option not supported --- This is the main reason I wanted to use zgrep -- to search through all dirs compressed or not. :-(
