|MadSci Network: Zoology|
Well, the short answer is "that's what makes them moths". If they were exactly like butterflies, they would be butterflies. But you probably want a better answer than that.
Both moths and butterflies have very tiny scales on their wings. They're sort of like the scales on fish, but much smaller; so small that they seem like a fine powder. The size and shape of the scales varies depending on the species, so some of them seem "fuzzier" than others. The scales are made of very thin layers of chitin, which is the same material that the outer shells of insects are made of. The reflection and refraction of light within those layers is what produces the iridescent colors seen on some butterflies. It works the same way that the thin walls of a soap bubble create iridescent colors.
I'm not sure why moths are hairy (most, but not all moths have "hair" on their bodies). Since moths tend to be active at night, and butterflies in the daytime, it may be that the hair helps keep moths warmer at night. It isn't really hair like humans have: it's made of the same thing that wing scales are made of. They're just shaped differently.
These scales do several useful things (aside from making them pretty). The hairs on moths may also provide some of the same benefits:
They help regulate a butterfly's body temperature by either absorbing or reflecting sunlight, depending on the angle the wings are turned to the sun.
They provide protection from the environment: for example, although butterflies and moths aren't completely waterproof, the scales do tend to repel water so that a butterfly can fly through the sprinkler in your yard without getting its wings waterlogged.
The scales also help protect them from predators by making the wings real slippery and hard to hold. If you touch a butterfly's wings, they feel real soft and slippery, like they are coated with talcum powder (actually, it feels even more soft and slippery). Since the scales are loosely attached, they come off easily and act just like talcum powder does to lubricate the wings. This makes it real hard, for example, for a spider to catch a butterfly in its web. The scales stick to the web, but the butterfly slides off and flies away. Spiders that specialize in catching moths and butterflies have webs that are specially designed to deal with this. For example, they might be funnel shaped so that the butterfly slides down into the funnel and is trapped.
Moths also usually have antennae that are more feathery than those of butterflies. Again, I'm not sure why, but since the antennae are what moths and butterflies use to smell with (this was the topic of another recent question), it suggests that moths use their sense of smell more than butterflies do, so they have a more developed "nose".
You might realize by now that this question doesn't have a simple answer. In fact, there are entomologists who specialize in figuring out exactly what the scales and hairs do on various species of moths and butterflies: they are still figuring out the details of the answer!
You can probably find out a lot more than you ever wanted to know about butterflies and moths (entomologists group them together and call them "lepidoptera") at Gordon Ramel's Entomology pages; there is a University of Kentucky Extension Service page that suggests classroom activities relating to insect wings; and the University of Florida has a good collection of Resources for Teaching Entomology that might point you at more answers to your question.
"Chitin" is pronounced like adding an "n" to the word "kite", at least in American english. I've been told that they pronounce it differently in England.
Try the links in the MadSci Library for more information on Zoology.
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