June bug, Japanese beetele.
The lady bug is the state bug of Delaware.
June Bug June Bug
Yes, a June bug does have antenna on its body.
Official Delaware State Bug - Lady Bug http://www.netstate.com/states/symb/insects/de_ladybug.htm
The Lady Bug
June Bug
June beetle, May beetle, May bug, green June beetle, figeater.
That June Bug - 1911 was released on: USA: 12 July 1911
Massachusetts state bug is the ladyBug. (it's also Ohio's, Tennessee's, New York's, and New Hampshire's.)
Coleoptera
probaly a June bug, but an even closer relitive would be one of the many kinds of darkling beetles.