data test;               /* create a sample dataset */
format date date1 date2 yymmdd10. ;
date1 = input('20010101', yymmdd8.);
date2 = input('20051231', yymmdd8.);
    do date = date1 to date2;
     yearmonth= put(date, yymmn.);
       do  j= 1 to 3;
         x = ranuni(123);
         y = rannor(123);
         output;
       end;
    end; drop date1 date2 j;
run;

proc sql;
    create table ym as
    select distinct yearmonth as yymm,
               'd'||yearmonth as dout
    from test;
quit;

data _null_;
   set ym;
   call execute('data '||dout||'; set test; IF yearmonth = '||yymm||'; RUN;');
run;