Cannot save adjustment layer as a style

I tried to follow the tutorial on saving adjustments as a style, but I never got the "save as style" option in the global adjustments menu.

Here's what I did:

1. Make a couple adjustments on an image as a test in the Adjust tab.

2. Click the double headed arrow in the (in my case) Exposure area.

     Noted that the two adjustments I made were checked.

     Clicked "Copy".

3. Went to the Global Adjustments Clipboard (under Style).

4. Clicked Copy at bottom of Adjustments Clipboard.

5. Clicked the "...", but no Save as style shown.

Below is the menu that pops up. I've tried different Autoselect options.

What am I doing wrong?

Thanks,