Start thread mid-shank on the smallest hook you can manage and wrap a smooth black silk body down into the bend and back. A caenis body is a speck; bulk is the enemy.
Add two turns of fine silver tinsel as a tag at the bend.
Optionally tie in three or four short white fibers as a tail.
Wind one black ostrich herl in two turns at the thorax position, just behind the eye, for the dark thorax of the natural.
Wind two to three turns of small badger cock hackle in front of the herl, the black-centred, white-edged badger perfectly fakes the caenis's cream body and dark thorax.