Thanks. Adjusted JSON response, but still can't get it to work...
var arrCol = ["col1", "col2"];
var grid = this;
$.getJSON("/php/data.php", "cols=" + JSON.stringify(arrCol), function (response) {
// all keys looks correct in response
for(var key in response){
grid.getColumn({ dataIndx: key }).filter.options = response[ key ];
}
grid.refreshHeader();
});