What am I?

I saw this "thing" on a walk with a friend around Mackenzie Lake this morning. I have just checked 10 pages of caterpillars on the excellent "What's That Bug?" website, to no avail (and now I feel queasy after looking at so many, LOL!). After I twisted the Oak leaf slightly to take a photo, this "thing" did not start moving and there was no sign of any "legs". I wonder if it is some sort of gall or egg case. If anyone can ID this for us, we'd be so happy!