Here's a sample of it as a CTE - note the ; before it. You will need that if this is part of a procedure that does other things.

;

WITH get_stddev AS

( SELECT a.idnumber ,

a.marketdate ,

STDEV(b.OHdiff) stddev_oh ,

STDEV(b.OLdiff) stddev_ol

FROM myTable b

JOIN myTable a

ON

(

b.IDNumber = a.IDNumber

AND b.MarketDate < a.MarketDate

AND b.MarketDate > a.MarketDate-31

)

WHERE a.MarketDate BETWEEN @lastUpdate + .1 AND @updateThrough

AND a.IDNumber BETWEEN @minIDNumber AND @maxIDNumber

GROUP BY a.idnumber,

a.marketdate

) ----- end cte

UPDATE c

SET StDev_OH_30Day = stddev_oh ,

StDev_OL_30Day = stddev_ol

FROM mytable c

JOIN get_stddev gs

ON

(

gs.IDNumber = c.IDNumber

AND c.marketdate = gs.marketdate )

I urge you to test this thoroughly. I wasn't completely sure of your data set-up. It's possible this needs some changes for your tables.