VMS Help CREATE, /DIRECTORY, Parameter  *Conan The Librarian (sorry for the slow response - running on an old VAX)

 directory-spec[,...]

    Specifies the name of one or more directories or subdirectories
    to be created. The directory specification optionally can be
    preceded by a device name (and colon [:]). The default is the
    current default directory. Wildcard characters are not allowed.
    When you create a subdirectory, separate the names of the
    directory levels with periods (.).

    Note that it is possible to create a series of nested
    subdirectories with a single CREATE/DIRECTORY command. For
    example, [a.b.c] can be created, even though neither [a.b] nor
    [a] exists at the time the command is entered. Each subdirectory
    will be created, starting with the highest level and proceeding
    downward.