Hook: Mustad 94840 #14
Thread: Sheer 14/0 Brown
Tail: Hareline Mayfly Tail White
Body: Polishquills Stripped Peacock Orange
Thorax: Wapsi Squirrel Spikey Dubbing
Wing: 2xCDC White
The stripped peacock eye makes for a very good segmented body, here I have tied it on a no-hackle CDC with a 94840 from Mustad. You can of course strip the feather yourself and color them the way you want, but the quality you get from polishquills.com is great and it saves a lot of time!
View from above: the split tail can be a bit tricky to get the first time you try it, but once you get the hang of it it should be easy to do. Here I have used the thin mayfly tail from Hareline, but you can (and I often do) use any hackle/feather to form a tail.