Once you've got your selection,
Hit CTRL+SHIFT+J to do "create new layer via cut"
or go to Layers>New>New Layer via Cut.
You can now lower the opactity of your selection with the opacity slider.
Another solution, less destructive:
With your selection active, hit the Create Layer Mask button.
Remember: black hides, white reveals...
Invert the colors of the mask (CTRL+I)(*1), so that your selected area is now affected by the mask.
Call Levels (CTRL+L) and play with the lower black slider (output levels) to vary the opacity of your selection. (Indeed, you notice that the black becomes gray in your layer mask, and in your image that the opactiy of the selected area varies...
(*1) Another solution to do this is to hold down ALT while you click on the layer mask button, you'll then create a layer mask with your selection hidden or a 3rd way to do it,(always three ways to do everything in Photoshop) go to Layers>Add Layer Mask>Hide Selection