Insertar un ComboBox en un DataGridView

Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
        Dim cmb As New DataGridViewComboBoxColumn()
        cmb.Items.Add("opcion1")
        cmb.Items.Add("opcion2")
        cmb.Items.Add("opcion3")
        cmb.Items.Add("opcion4")
        dgv1.Columns.Insert(1, cmb)
    End Sub