By default, you can save the file to PES, but as many users have said, this isn't possible any more if you're pushing the limits with the large embroidery files. I recommend you resize the embroidery to a point where you can save it as PES. To do this, use a 3rd party application like BuzzSize to scale down the file and then you can save it as PES.
You can use the trial version from the official website: https://www.buzztools.com/buzzsize.asp