Issue on mysqldump in MySQL5.6
Some information can be found in SET Syntax and this bug.


  The SET statement assigns values to different types of variables that affect the operation of the server or your client. Older versions of MySQL employed SET OPTION, but this syntax is deprecated in favor of SET without OPTION.


How to fix it


If the problem happens when you are creating the dump (your case):
Upgrade you MySQL client tools to the same version of your MySQL server (in your case, 5.6)
If the problem happens when you are restoring the dump: At the beginning of the file, you have some SET OPTION statements; edit your dump, and change all instances of SET OPTION to SET SESSION like described here