"Exploring your options" means trying to get information to make a decision. For example:
We're probably going to switch to a new website host, but we haven't decided which one yet. We're still exploring our options.
If you're trying to find a new job, you can also say that you're "exploring your options":
I just graduated, so I'm still exploring my options.
When you use this phrase, it sounds like you have several different job offers that you can choose from, but you haven't decided which one to take yet. Of course, the truth might be that no one has offered you a job yet! So this phrase has also become a way of saying that someone is unemployed:
A: Has Malia found a job yet?
B: No, she's still "exploring her options".