The table created by SELECT INTO
is always a heap. If you want a PK/Identity column you can either do as you suggest in the comments
CREATE TABLE #T
(
Id INT IDENTITY(1,1) PRIMARY KEY,
/*Other Columns*/
)
INSERT INTO #T
SELECT *
FROM TradeTable.staging.Security
Or avoid the explicit CREATE
and need to list all columns out with
SELECT TOP (0) IDENTITY(int,1,1) As Id, *
INTO #T
FROM TradeTable.staging.Security
ALTER TABLE #T ADD PRIMARY KEY(Id)
INSERT INTO #T
SELECT *
FROM TradeTable.staging.Security