greping zip/bz2 files is annoying: -H option doesn't work

grep is a quite useful command line but some options don't leave well with zip files....like:
-H, --with-filename       print the filename for each match 

bzgrep nore zgrep solve the problem, it is making the same effect as:
zcat *.bz2 | grep -H "something"

it generate this
 (standard input):

not:
filename:

So here is my zgrep.py (example: ls *.gz | zgrep.py "a <.*> (.*)")

#!/usr/bin/env python
''' allow grep -H option of bzip & zip files '''

import sys
import gzip
import bz2
import re
 
exp = sys.argv[1]
expExtractor = re.compile(exp)

for filename in sys.stdin:
    filename = filename.strip()
    if filename.endswith('.gz'):
        freader = gzip.open(filename,'r')
    elif filename.endswith('.bz2'):
        freader = bz2.BZ2File(filename)
    else:
        freader = open(filename, 'r')
    for i, line in enumerate(freader):
        line = line.strip()
        if expExtractor.search(line):
            print "%s:%i <%s>" %(filename, i, line)