As an option you can initially create Null-able column, then update your table column with valid not null values and finally ALTER column to set NOT NULL constraint:
ALTER TABLE MY_TABLE ADD STAGE INT NULL GO UPDATE MY_TABLE SET <a valid not null values for your column> GO ALTER TABLE MY_TABLE ALTER COLUMN STAGE INT NOT NULL GO

As an option you can initially create Null-able column, then update your table column with valid not null values and finally ALTER column to set NOT NULL constraint:
ALTER TABLE MY_TABLE ADD STAGE INT NULL GO UPDATE MY_TABLE SET <a valid not null values for your column> GO ALTER TABLE MY_TABLE ALTER COLUMN STAGE INT NOT NULL GO
Another option is to specify correct default value for your column:
ALTER TABLE MY_TABLE ADD STAGE INT NOT NULL DEFAULT '0'
--- UPD: Please note that answer above contains `GO` which is a must when you run this code on Microsoft SQL server. If you want to perform the same operation on Oracle or MySQL you need to use semicolon `;` like that:
ALTER TABLE MY_TABLE ADD STAGE INT NULL; UPDATE MY_TABLE SET <a valid not null values for your column>; ALTER TABLE MY_TABLE ALTER COLUMN STAGE INT NOT NULL;