SELECT e.sku
,t.title as 'name'
,cv.value as 'Custom option name'
,GROUP_CONCAT(ot.title) as 'Custom option values'
FROM catalog_product_option o
JOIN catalog_product_entity e ON e.entity_id=o.product_id
JOIN catalog_product_option_title t ON t.option_id=o.option_id
JOIN catalog_product_entity_varchar cv ON
cv.entity_id=e.entity_id AND
cv.attribute_id=(SELECT attribute_id
FROM eav_attribute ea
JOIN eav_entity_type et
ON
et.entity_type_code='catalog_product'
AND et.entity_type_id=ea.entity_type_id
WHERE ea.attribute_code='name')
LEFT JOIN catalog_product_option_type_value ov ON
ov.option_id=o.option_id
LEFT JOIN catalog_product_option_type_title ot ON
ot.option_type_id=ov.option_type_id
GROUP BY e.sku, ov.option_id;
tested on magento 1.9.2.3 MySQL 5.6.21
don't forget to add table prefix if you have one - check app/etc/local.xml (table_prefix tag)
sample output
+---------+-----------------------+----------------------------------------+----------------------+
| sku | name | Custom option name | Custom option values |
+---------+-----------------------+------------------------------------ ----+----------------------+
| abl000 | Monogramming | Isla Crossbody Handbag | NULL |
| mem000 | Membership start date | Madison Island VIP Membership - 1 Year | NULL |
| mtk004c | monogram | Chelsea Tee | NULL |
| mtk004c | Test Custom Options | Chelsea Tee | model 2,model 1 |
+---------+-----------------------+----------------------------------------+----------------------+