Selecting every options from a drop-down box using selenium python

I am trying to extract some data from a website. However, the site has a hierarchical structure. It has a dropdown menu on the top, whose option valueare URLs. Thus, my approaches are:

1. find the dropdown box,
2. select an option,
3. extract some data, and
4. repeat Steps 2 to 4 for all available options.

Below is my code, I am able to extract data under the default selected option (the first one). But I got error Message: Element not found in the cache - perhaps the page has changed since it was looked up. It seems like my browser was not switched to the new page. I tried time.sleep() or driver.refresh(), but failed... Any suggestions are appreciated!

<select class="form-control"> 
    <option value="/en/url1">001 Key</option>
    <option value="/en/url2">002 Key</option>
</select>

# select the dropdown menu
select_box = Select(driver.find_element_by_xpath("//select[@class='form-control']"))
# get all options
options = select_box.options

for ele_index, element in enumerate(options):
    # select a url
    select_box.select_by_index(ele_index)
    time.sleep(5)
    print element.text

    # extract page data
    id_comp_html = driver.find_elements_by_class_name('HorDL')
    for q in id_comp_html:
        print q.get_attribute("innerHTML")
        print "============="

update 1 (based on alecxe's solution)

# dropdown menu
select_box = Select(driver.find_element_by_xpath("//select[@class='form-control']"))
options = select_box.options

for ele_index in range(len(options)):
    # select a url
    select_box = Select(driver.find_element_by_xpath("//select[@class='form-control']"))
    print select_box.options[ele_index].text
    select_box.select_by_index(ele_index)
    # print element.text
    # print "======"
    driver.implicitly_wait(5)
    id_comp_html = driver.find_elements_by_class_name('HorDL')
    for q in id_comp_html:
        print q.get_attribute("innerHTML")
        print "============="

Your select_box and element references got stale, you have to "re-find" the select element while operating the option indexes inside the loop:

# select the dropdown menu
select_box = Select(driver.find_element_by_xpath("//select[@class='form-control']"))
# get all options
options = select_box.options

for ele_index in range(len(options)):
    # select a url
    select_box = Select(driver.find_element_by_xpath("//select[@class='form-control']"))
    select_box.select_by_index(ele_index)

    # ...
    element = select_box.options[ele_index]

You might also need to navigate back after selecting an option and extracting the desired data. This can be done via driver.back().