How to add index in dataframe in pandas

I use API to get the stock from Yahoo; however, the first column is ['Date'], I need index column- to further Date vs interested parameter.

I tried to add an index column but it seems not working.

import yfinance as yf
import datetime
stocks = ["MU"]
start = datetime.datetime(2016,10,1)
end = datetime.datetime(2019,10,1) 
data = yf.download(stocks, start=start, end=end)
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#Use pandas to make data frame
df = pd.DataFrame(data)
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The data frame like this:
             Open   High    Low  Close  Adj Close    Volume
Date                                                       
2016-10-03  17.99  18.02  17.60  17.73      17.73  26856100
2016-10-04  17.98  18.04  17.66  17.80      17.80  54502800
2016-10-05  17.55  18.33  17.28  17.70      17.70  67739500
2016-10-06  17.64  17.89  17.54  17.73      17.73  21606800
2016-10-07  17.72  17.80  17.30  17.61      17.61  23849000
df.index=pd.to_datetime(df.index)

df['Open']

Date
2016-10-03    17.99
2016-10-04    17.98
2016-10-05    17.55
2016-10-06    17.64
2016-10-07    17.72
          ...  
2019-09-25    48.47
2019-09-26    49.38
2019-09-27    45.90
2019-09-30    43.00
2019-10-01    43.10