The Male Dayfly is one of the 24 Golden Bugs in Twilight Princess. Its female counterpart is the Female Dayfly. This bug can be traded to Agitha for a Rupee prize.
The Male Dayfly is located northeast (Wii) of the far south-central gate in Gerudo Desert. It is best to encounter it during the night when it is most visible.
Male Dayfly's location in Gerudo Desert
Male and Female Dayfly's locations on the map