TransactionScope() in Sql Azure

Question

Does Sql Azure support using TransactionScope() when performing inserts? Below is a code snippet of what I am trying to do.

using (var tx = new TransactionScope(TransactionScopeOption.RequiresNew, new TransactionOptions() { IsolationLevel = IsolationLevel.ReadCommitted }))
            {
                using (var db = MyDataContext.GetDataContext()) 
                {
                    try
                    {
                        MyObject myObject =  new MyObject()
                       {
                         SomeString = "Monday"

                       };
                        db.MyObjects.InsertOnSubmit(myObject);
                        db.SubmitChanges();
                        tx.Complete();
                    }
                    catch (Exception e)
                    {
                    }
                 }
             }