A plug-in estimator is proposed for a local measure of variance ex- plained by regression, termed correlation curve in Doksum et al. (J Am Stat Assoc 89:571–582, 1994), consisting of a two-step spline ke- rnel estimator of the conditional variance function and local quadratic estimator of first derivative of the mean function. The estimator isora- cally efficient in the sense that it is as efficient as an infeasible correl- ation estimator with the variance function known. As a consequence of the oracle efficiency, a smooth simultaneous confidence band(SCB) is constructed around the proposed correlation curve estimator and shown to be asymptotically correct. Simulated examples illustrate the versatility of the proposed oracle SCB which confirms the asymptotic theory. Application to a 1995 British Family Expenditure Survey data has found marginally significant evidence for a local version of Engel’s law, i.e., food budget share and household real income are inversely related (Hamilton in Am Econ Rev 91:619–630, 2001).