Document global options and add `cmdstanr_output_dir` #1807

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Job	Run time
macOS-latest (devel)	1h 16m 28s
macOS-latest (release)	52m 57s
windows-latest (devel)	1h 32m 48s
windows-latest (release)	1h 30m 17s
windows-latest (oldrel)	1h 32m 31s
ubuntu-20.04 (devel)	1h 6m 41s
ubuntu-20.04 (release)	1h 3m 9s
ubuntu-20.04 (oldrel)	1h 5m 26s
ubuntu-20.04 (3.6)	1h 6m 41s
	11h 6m 58s