I do not understand the question. Are you asking how to setup a User Defined PDM option or how to find out what program ran when your co-worker used the EX option?
If you want to know what happened when he used the EX option, ask him.
User Defined PDM options are usually stored in QGPL/QAUOOPT. That file comes with the AS400. Many developers will put a copy of that file in their own library or a “programmer tools” library. Then use F18 when in PDM to change the the name of the options files that they use. It does not have to be QAUOOPT.