Pandas for Finance FileNotFoundError: [Errno 2] No such file or directory: 'quotes/AMZN.csv'
#### Code Sample, a copy-pastable example if possible

python 3.5
pandas 0.17

for g, grp in p.groupby(level='stock'):
    grp.to_csv('quotes/{0}.csv'.format(g))
#### Expected Output

save all the quotes in csv 
#### output of `pd.show_versions()`

Traceback (most recent call last):

  File "<ipython-input-21-7884f2db115e>", line 79, in <module>
    grp.to_csv('quotes/{0}.csv'.format(g))

  File "C:\Users\LastAncientOne\Anaconda3\lib\site-packages\pandas\core\frame.py", line 1332, in to_csv
    formatter.save()

  File "C:\Users\LastAncientOne\Anaconda3\lib\site-packages\pandas\core\format.py", line 1481, in save
    compression=self.compression)

  File "C:\Users\LastAncientOne\Anaconda3\lib\site-packages\pandas\io\common.py", line 354, in _get_handle
    f = open(path, mode, errors='replace')

FileNotFoundError: [Errno 2] No such file or directory: 'quotes/AMZN.csv'
