JCL/REXX - Members in a PDS

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How can I create a member in a PDS using either JCL or REXX? The member's name must contain the actual date. Is that possible?

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It can be done in JCL and by Rexx. You need to remember that member names are a maximum of 8 bytes and cannot start with a numeric so you would need to use something like the 'Julian' date e.g. 2017365. You may have system variables available to populate your JCL - check the JCL manual and level of Z/os that you are using.