Yes - `PEX_ROOT`. See here:
jsirois@gill ~/dev/3rdparty/pants (master) $ rm -rf pants.pex ~/.pex
jsirois@gill ~/dev/3rdparty/pants (master) $ PEX_ROOT=/tmp/pex_root ./pants
...
jsirois@gill ~/dev/3rdparty/pants (master) $ ls ~/.pex
ls: cannot access /home/jsirois/.pex: No such file or directory
jsirois@gill ~/dev/3rdparty/pants (master) $ ls /tmp/pex_root/
install
jsirois@gill ~/dev/3rdparty/pants (master) $ ls -1 /tmp/pex_root/install | head
ansicolors-1.0.2-py2-none-any.whl.4452225625be802319a1e1ca440bf01b18621b6f
antlr_python_runtime-3.1.3-py2-none-any.whl.5339272f968cce224cceea611988dcf4b1bfeeac
argparse-1.2.1-py2-none-any.whl.f1be776ab1f64c6f7d964c931ed4e39f6d57460e
cov_core-1.14.0-py2-none-any.whl.35f108534cfb7d13414b745a3ffbcd22b2cca19c
coverage-3.7.1-py2.6-linux-x86_64.egg.03796ae00d9c388b3aef80a0dfa8887564a46cb9
coverage-3.7.1-py2.6-macosx-10.4-x86_64.egg.7c995f1e974b1c58be32ccc9703d70724a33894a
lockfile-0.9.1-py2-none-any.whl.b8138aa273924bb02232730efa0ce4838bde143f
Markdown-2.1.1-py2-none-any.whl.9cf8ebb68d6f65cc752e7c94fccd13a291eb4ab7
pex-0.7.0-py2.py3-none-any.whl.1528dd6e325a4178651c50d45cba558709e6df75
psutil-1.1.3-py2.6-linux-x86_64.egg.7e211e03eee41bea90d3daf3c78e46e16e2df252
...