entity framework can't insert null error on generated id column

I have a strange issue where I started getting an error trying to insert into a table.  

Cannot insert the value NULL into column 'Id', table 'OptionSettlementValues'; column does not allow nulls. INSERT fails.
The statement has been terminated.

Here is the code for that object
        [DatabaseGenerated(DatabaseGeneratedOption.Identity)]
        public Guid Id { get; set; }
        public string UnderlyingSymbol { get; set; }
        public DateTime Expiration { get; set; }
        public decimal SettlementPriceUnderlying { get; set; }
        public string Type { get; set; }

        public OptionSettlementValue()
        {}

        public OptionSettlementValue(string underlyingSymbol, string expiration, string settlementPriceUnderlying, string type)
        {
            UnderlyingSymbol = underlyingSymbol;
            Expiration = DateTime.Parse(expiration);
            SettlementPriceUnderlying = decimal.Parse(settlementPriceUnderlying);
            Type = type;
        }


Here is my code to insert:
var db = new Context("JTradeAdmin");
db.OptionSettlementValue.Add(new OptionSettlementValue("OEX", "1/4/2013", "664.69", "weekly"));
db.SaveChanges();