In a precarious situation; see "hairy"
My friend in college was dating (may still be) a woman with very hairy eye-brows. I nick-named her "Brows." One early morning, a friend asked where my friend who was dating "Brows" was. He was indeed in bed with her, doing the nasty probably, although we always gave him a hard time about it. I thus simply answered, "Balls-deep in Groucho." From then on it became synonomous with being in a "hairy, tight, or precarious spot"
"Dude, what happened with you at the party lastnight? I heard both of your girlfriends were there.
Yea man, I was so "balls-deep in Groucho"