Export > Include > 

Lights

 
 
 

Activate this option to export all lights contained in the file. The 3ds Max FBX Plug-in exports and converts light types to ensure FBX interoperability.

The 3ds Max FBX Plug-in supports Standard Point, Spot and Directional light types exported to FBX for Autodesk Maya, Autodesk MotionBuilder, and other Autodesk applications. For a list of supported lights, see Light support.