When having a Reporting Services report on a SharePoint web page the export option does not list the available options. In order to get it working, you need to configure the report viewer auto generated axd files[Reserved.ReportViewerWebControl.axd] in the IIS.

1. Open the IIS Manager.
2. Go to the site where you have the report .
3. In the Features view area click “Handler Mappings”.
4. Find the ReportViewerWebPart and double click on it
5. Copy the Type.
6. Click Cancel
7. On the right side panel, select the option “Add Managed Handler”.
8. A new window will open and add the text below
   Request Path: Reserved.ReportViewerWebControl.axd
   Type: this is the text copied on step 5
   Name: Reserved.ReportViewerWebControl.axd
9. Click OK and do an IISReset

NOTE
For the Type on step 8 you can add this:
Microsoft.ReportingServices.SharePoint.UI.WebParts.WebPartHttpHandler, Microsoft.ReportingServices.SharePoint.UI.WebParts, Version=10.0.0.0, Culture=neutral, PublicKeyToken=89845dcd8080cc91