This letter studies the problem of exploiting multichannel diversity in a spectrum sharing system, where the secondary user (SU) sequentially explores channel state information on the licensed channels with time consumption. To maximize the expected achievable throughput for the SU, we formulate this problem as an optimal stopping problem, whose objective is to choose the right channel to stop exploration based on the observed signal-to-noise ratio sequence. Moreover, we propose a myopic but optimal rule, called one-stage look-ahead rule, to solve the stopping problem.