If you've been following the weather around the state, you've seen that northern New Jersey started experiencing some frosts at the end of next week, and it's only getting colder going further north. Yet we are still getting influxes of Monarchs to Cape May Point and they may have had to pass through cold weather to get here. Monarchs, as well as many other insects, are aided by an adaptation called the cold-hardening response. This allows the butterflies to survive for a period of time at sub freezing temperature if them have been pre-exposed to cold temperatures. If a Monarch is slowly exposed to increasingly cold temperatures, it has a greater chance of surviving in freezing temperatures (even at 25 degrees F!) then a Monarch more rapidly exposed to freezing temperatures, although even rapid cold exposure does increase cold hardiness.
A Monarch typically freezes at -8 C/18 F. Fatal, non-freezing injury can occur above this temperature. However, a damp Monarch, such as one that has been exposed to rain or dew, will freeze at a higher temperature. This is why it is so vital for the entire forest at the overwintering grounds in Mexico to remain intact, in order to prevent excess moisture from reaching the roosting Monarchs and causing premature death.
Source: Cold Tolerance Including Rapid Cold-hardening and Inoculative Freezing of Fall Migrant Monarch Butterflies in Ohio. Authors: Larsen & Lee 1994.