I stand corrected by Tom - key is the correct SET option to use.  ... View more

Create a small subset of the master dataset.  The set statement has an POINT= option to use direct (and not sequential) access against the Master dataset. See http://support.sas.com/documentation/cdl/en/lestmtsref/63323/HTML/default/viewer.htm#p00hxg3x8lwivcn1f0e9axziw57y.htm This feature will use the index you constructed. ... View more

Documentation link is http://support.sas.com/documentation/cdl/en/lrcon/65287/HTML/default/viewer.htm#n06cy7dznbx6gen1q9mat8de6rdq.htm This is documented in SAS(R) 9.3 Language Reference: Concepts, Second Edition section is: Understanding SAS Indexes towards the bottom of this section is Using an Index for BY Processing ... View more

A  BY statement does not use an index in these situations if the data file is physically stored in sorted order based on the variables specified in the BY statement. This is in the SAS documentation. ... View more