Here’s a blast from the past that still works well. The Parachute Midge Emerger, along with something like a #18 Purple Hazy Cripple, should be your go-to dry fly when you see midges hatching on late fall and winter afternoons. This is my top winter dry fly just about everywhere: spring creeks, tailwaters, and the mighty Yellowstone itself. Hang an unweighted thread midge or WD-40 nymph under the emerger.
Hook: Standard or short-shank dry fly, #14-22.
Thread: 8/0 or smaller black, or to match the fly body color.
Wing: White Widow’s Web or similar synthetic.
Rib: Pearl Midge Krystal Flash.
Hackle: Grizzly saddle.