SaveData Property [Excel 2003 VBA Language Reference]
True if data for the PivotTable report is saved with the workbook. False if only the report definition is saved. Read/write Boolean.
For OLAP data sources, this property is always set to False.
This example sets the PivotTable report to save data with the workbook.
Set pvtTable = Worksheets("Sheet1").Range("A3").PivotTable pvtTable.SaveData = True