Monarch chrysalis formation

 
It's not a cocoon:
A chrysalis (Latin chrysallis, from Greek χρυσαλλίς = chrysallís, plural: chrysalides, also known as an aurelia) or nympha is the pupal stage of butterflies. The term is derived from the metallic gold-coloration found in the pupae of many butterflies, referred to by the Greek term χρυσός (chrysós) for gold.

A cocoon is a casing spun of silk by many moths and caterpillars, and numerous other holometabolous insect larvae as a protective covering for the pupa.
Posted for the detailed view of the process, which I have watched countless times.