The best that I can tell we have six species of Sphex wasps in Alabama: Sphex dorsalis, Sphex flavovestitus, Sphex habenus, Sphex ichneumoneus, Sphex nudus, and Sphex pensylvanicus. There are a number of differences not listed here, and this isn't a complete key. I just needed a quick and dirty reference to tell the difference between the species. PLEASE let me know if you spot any errors, or if the key doesn't work properly or feels clunky.
1a. Solid black ....................................................................................................................................2
1b. Bi-colored ....................................................................................................................................3
2a. Black pubescence......................................................................................Sphex pensylvanicus
2b. Gold pubescence.................................................................................Sphex habenus (female)
2c. Yellowish-silver pubescence ..................................................................Sphex dorsalis (male)
3a. Solid red abdomen .......................................................Sphex habenus (male, rarely female)
3b. Solid black abdomen ..................................................................................................................4
3c. Bi-colored abdomen ...................................................................................................................5
4a. Silver (to straw colored) pubescence; bright orange tibiae...........................Sphex nudus
4b. Orange (to gold) pubescence...................................................................Sphex flavovestitus
5a. Abdomen red anteriorly, solid black posteriorly ............................. Sphex ichneumoneus
5b. Abdomen red anteriorly, black posteriorly with red tip ............. Sphex dorsalis (female)
Range: All six are found state-wide with varying frequency.
Sphex dorsalis: Seems to be found predominantly south of Montgomery, most common along the coastline of the southeast. One observation in Huntsville.
Sphex nudus: Most commonly found in the northern half of the state, not very common along the coastline, seems to prefer more interior habitats.
The other four (S. flavovestitus, S. habenus, S. ichneumoneus, and S. pensylvanicus) are found statewide with seeming equal distribution.
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As a Louisianan naturalist, for those curious, a cursory iNat search shows pretty similar numbers of these species in Louisiana. No guarantees of morphological gradients, but seems workable!
You're right! I checked the other states in the southeast and, with the exception of Florida (additional species Sphex jamaicensis), they all have these six species.
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