There are two reasons these two options could be disabled.
No data has been collected.
Data has been collected, but it is still being processed.
It's important to note that the save capture and export commands on the main options menu only apply to the currently selected tab. You may have other tabs open, but if the capture tab is currently selected and does not contain a capture, then these options will still be disabled.
Normally, a capture is processed as it is recorded, in near-real time. The result is that processing completes at the same time the capture ends, and these options are never disabled.
However, there are cases where the processing stage is unable to keep up with the data as it is captured. That results in a backlog of data that still need to be processed after the capture has finished recording. That is indicated by extra title bar text that states "Processing data... 15%". While the title bar says "processing," you will not be able to export data.
Once processing is complete, you will be able to export.
It's also worth noting that while the options menu is open, it will not update. If the processing completes while you have the options menu open, you will need to close the menu and re-open it to save the capture or export data.