SQLServerException: The statement did not return a result set when executing SQL

I'm using using the sqljdbc4.jar (sqljdbc_2.0) version.

I'm executing an insert + a select back to get the identity like this:

BEGIN 
INSERT INTO DateRangeOptions (Description,Code) 
VALUES ('dateRange.quickPick.option.all','ALL');  
SELECT SCOPE_IDENTITY()  
END

and I get:

com.microsoft.sqlserver.jdbc.SQLServerException: The statement did not return a result set.

The line is:

st.executeQuery(updateQuery)

Any ideas?