This is a monarch first instar caterpillar who has burrowed a whole out of its host plant milkweed (Asclepias speciosa).  In some regions of the country, it becomes very helpful to understand the visual differences between monarch caterpillar feeding damage and milkweed bugs feeding damage.  Milkweed bugs generally start at the tip of the milkweed; whereas young monarch caterpillars start skeletonizing and burrowing in the center part of the ventral side of the leaf.