Export a Video Still from PPro CS as a .psd

I am trying to export a still frame taken from a video to a .psd file.

I am using PPre CS 6

I find the frame I want to still, I put it in my Source monitor.

I then Press I for the in point

I then press the camera icon in the Source window

I see a drop down box come up asking me what type of file I want to export.

I see .jpeg, .tiff. png, etc... I DO NOT SEE .PSD.

Why not? I want to make a Photoshop File.

Thanks in advance