Apparently, the answer is in the IBM website, but it is not easy to make sense of.
http://publib.boulder.ibm.com/infocenter/db2luw/v9/index.jsp?topic=%2Fcom.ibm.db2.udb.admin.doc%2Fdoc%2Fr0000952.htm
FOR explainable-sql-statement
Specifies the SQL statement to be explained. This statement can be any
valid CALL, Compound SQL (Dynamic), DELETE, INSERT, MERGE, SELECT,
SELECT INTO, UPDATE, VALUES, or VALUES INTO SQL statement. If the
EXPLAIN statement is embedded in a program, the
explainable-sql-statement can contain references to host variables
(these variables must be defined in the program). Similarly, if
EXPLAIN is being dynamically prepared, the explainable-sql-statement
can contain parameter markers.
But it does not tell you what "parameter markers" are, so you have to go and search for it.