Creating A Table Inside A Stored Procedure

I am trying to creating a table inside a stored procedure using SQL that works fine in Query Analyzer. However, when I check the syntax I get the following message:

Error 208: Invalid object name '##OPTIONSEX'

I am using the following SQL script:

CREATE PROCEDURE [dbo].[Test2] AS

CREATE TABLE ##OPTIONSEX
(
OPTION_PLAN VARCHAR(50),
TOT_OPTIONS_EXCHANGED FLOAT NULL
)

GO

INSERT ##OPTIONSEX

SELECT
B.COMPONENT,
TOT_OPTIONS_EXCHANGED = SUM(A.UNITS)
FROM TBLEXERCISEOPTIONS A, TBLCOMPONENT B
WHERE B.COMPONENTID = A.COMPONENTID
GROUP BY B.COMPONENT

GO

Any help getting this to run correctly would be appreciated.