It's not a worm but a nest made by a colony  of leaf eating caterpillar's.

In case you care, it belongs to the moth genus Hyphantria and they show up from late July through mid September.  Like so many of our pests, they are not native and came from Asia. They can show up on a variety of trees but have an affinity for the trees with compound leaves so mostly Walnut, Hickory and what's left of the Ash .

​

 The  Caterpillars make the nests usually on the outer reaches of the branches and feed within the nest.  Older caterpillars will venture just  outside from the nest during the day and return at night.  They use the nest for protection from predators (birds mostly) as it is too much effort to pick of the caterpillars through the webbing.   They overwinter as pupae in the bark and emerge as adults in the spring.

​

The Good news is that the caterpillars show up too late in the year to really damage the health of the tree but they can be unsightly. Snipping off the web is the best control method ( might need pole pruners).  Just put the nest on the ground and stomp on it.  But often the nest is empty during the day as the caterpillars are in the branch to forage.  They also complete their life cycle quickly so you may go our to cut the nest out but its too late as the caterpillars have gone to pupate.  

​

​