The court approved class action lawsuit and there is a class which I''m automatically part of. This court approved my request to opt out, can I sue?

If you have followed the procedure for opting out, you are not part of the class and can sue individually. It is not possible to answer your question about whether you may sue in the court where the class action is pending, because you do not post sufficient facts about the nature of your claims to determine whether that could would have subject-matter jurisdiction over your claims. Suffice it to say that you may sue in any court which would have both personal and subject-matter jurisdiction over your claims. It is possible that inconsistent decisions would be reached in the class action and in your individual suit. You do not post any information about the nature of your claims, the nature of the harms you have suffered or the facts that support your case, so it is impossible to venture a guess as to any possible outcomes from these limited facts.