Answer: If the buds have holes and are eaten inside, aphids are not at fault. A little green caterpiller, called the rose budworm (Pyrrhia umbra), is the likely culprit. Control is difficult because you rarely see the caterpillars. The adults lay eggs on the developing rose buds and, after hatching, the little larvae burrow into the unopened bud to feed. They exit, pupate in the ground, and then emerge as adults. Your best defense is to carefully inspect and remove affected buds, then add mulch over the soil at the base of your rose bush. You can further disrupt the lifecycle by regularly raking the mulch to expose the insects to weather and predatory insects.
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