Here is a macro to batch export all parts in selected folder as STEP file which will be saved in the same folder.  

Macro libraries are set to SW2019 version. In case you're running a different version then update/correct the macro references as suggested in this video (don't worry on the fact that video is for fixing missing library error but check the process to update your macro library): https://www.youtube.com/watch?v=uieXLNVf5dE

Also you can change the format from STEP to other formats as needed.