You're in luck and have a bit of natural biological control a your place.
That's the cocoon of a cabbage looper that was parasitized by tiny critters by the name of Copidosoma. the parasitzed caterpillar always assumes an S-shape inside its filmy cocoon.
I often saw that when I lived in Long Beach, CA.
So leave it be so that it can carry on it's good works!
