In my case, the file did not exist. In MySQL Workbench I went to OPTIONS FILE and found some default values. I clicked apply. It asked for permission. It then created the my.cnf file under /etc. However, it is very important to keep in mind that the first time you click "apply", you do not make any changes to the default configuration. Once the file has been created, you can make changes which will be applied when you click "apply". Otherwise you will not be shown the apply button when you make changes.