Anti-static bag strip, narrow Black ostrich herl (Shell back)
Anti-static bag strip, wide Black ostrich herl (Wing case)
Dubbing, flashy Olive ice dub (Thorax)
Superglue Clear head cement (Exposed wraps)
How to tie it
Start olive thread on a Daiichi 1760 and tie in four strands of brown olive Crystal Flash, leaving one strand notably longer than the rest. Three become the tail, one becomes the rib. One material doing two jobs.
Tie a narrow strip of anti-static bag in centred on top as the shell back over the abdomen. ASB goes translucent when wet, which is exactly what a mayfly nymph's abdomen looks like against the light.
Trim the three short strands to tail length, then use the long strand to rib the shell back and the body.
Tie a wider piece of anti-static bag in at the front for the wing case. Wider because the thorax is wider than the abdomen and the case has to cover it.
Dub a flashy olive thorax, using whatever your favourite dubbing is.
Pull the wing case over, tie it off, whip finish, then brush the thorax out to make legs. Glue any exposed thread wraps.