I'm not aware of any option to output to the directory of the current script, but it should by default output to the current working directory of Interactive SQL:
[E:\]mkdir out_test [E:\]cd out_test [E:\out_test]dbisql -c "DSN=SQL Anywhere 16 Demo" "select 'test'; output to 'test.out'" Execution time: 0.014 seconds Exporting data to "E:\out_test\test.out" 1 rows written to "E:\out_test\test.out" Execution time: 0.023 seconds
If you start Interactive SQL from the start menu, however, the current working directory may be one of the system folders for the user. Output to such a directory may not work without "Run as Administrator".
Hope this helps,
Tyson