John,

your command wasn't found because VARY is an MVS command, not a TSO command, 
and IKJEFT01 is TSO.

If, as others pointed out, the // COMMAND suggestion doesn't work due to 
authorization issues or timing issues, you may want to try it in TSO batch 
again, using the CONSOLE command (for which you're authorized maybe).

Something like this:

//your-jobcard JOB ...                                               
//STEP01    EXEC  PGM=IEBUPDTE,PARM=NEW                              
//SYSPRINT  DD  DUMMY                                                
//SYSUT2    DD  DISP=(,PASS),SPACE=(TRK,(1,1)),                      
//          RECFM=FB,LRECL=80,DSORG=PO,DSNTYPE=LIBRARY               
//SYSIN     DD  DATA,DLM='¬¬'                                        
./ ADD NAME=MVSCMD                                                   
/* rexx */                                                           
/* issues MVS commands */                                            
arg dd                                                               
call ReadInput                                                       
if result ^= 0 then exit result                                      
call CountCmds                                                       
say "# of MVS commands to issue: "result                             
cartpfx = userid                                                     
cartcnt = 0                                                          
address tso                                                          
do k = 1 to inplines.0                                               
 "CONSOLE ACTIVATE NAME("userid"Z)"                                  
 'CONSPROF SOLDISP(NO) UNSOLDISP(NO) SOLNUM(1024) UNSOLNUM(1024)'    
 conscmd = inplines.k                                                
 'CONSOLE SYSCMD('conscmd') CART('conscart')'                        
 gc = getmsg('R.','SOL',conscart,,5)                                 
 if gc = 4 then gc = getmsg('R.','EITHER',conscart,,5)               
 if gc = 0 then do                                                   
    say "         Issuing command #"k"..."                           
    say "         "conscmd                                           
    do i = 1 to r.0                                                  
       conscmdn = r.mdbgtimh ""r.i                                   
       say conscmdn                                                  
    end                                                              
 if gc > 0 then say 'Unable to retrieve message - GETMSG RC:' gc     
 end                                                                 
 'CONSPROF SOLDISP(YES) UNSOLDISP(YES) SOLNUM(1000) UNSOLNUM(1000)'  
 'CONSOLE DEACTIVATE'                                                
end                                                                  
exit                                                                 
/**/                                                                 
CountCmds: procedure expose inplines.                                
  j = 0                                                              
  do i = 1 to inplines.0                                             
    if (left(inplines.i,2) ^= "&&") then j=j+1                       
  end                                                                
return j                                                             
/**/                                                                 
ReadInput: procedure expose dd inplines.                             
maxcc = 0                                                            
  address mvs "EXECIO * DISKR "dd" (STEM INPLINES. FINIS"            
  if rc ^= 0 then do                                                 
    say "RXLENZ01 ERROR READING INPUT FROM DD "dd                    
    maxcc = 16                                                       
  end                                                                
  if inplines.0 = 0 then do                                          
    say "RXLENZ02 NO INPUT PROVIDED IN DD "dd                        
    maxcc = 16                                                       
  end                                                                
return maxcc                                                         
/**/                                                                 
¬¬                                                       
//*                                                      
//STEP02    EXEC  PGM=IKJEFT01,PARM='%MVSCMD MVSCMDS'    
//SYSEXEC   DD  DSN=*.STEP01.SYSUT2,DISP=(OLD,DELETE)    
//SYSTSPRT  DD  SYSOUT=*                                 
//SYSTSIN   DD  DUMMY                                    
//MVSCMDS   DD *                                         
VARY SMS,VOLUME(SMC1G5),DISABLE,NEW                                         
//


Regards,
Boris

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