That looks very much like the Under Armor skull cap. I've got one to wear under safety helmets--particularly to keep the dirt and other stuff that might be on loaned equipment like that. I'll also be using one under my motorbike helmet so I don't have to constantly wash the removable liner--sunscreen probably gunks those up too.
During the winter, or what passes for it down here in NO, I have a fleece beanie--and that sucker is always with me when I have to go to the home office in upstate NY between October-March! Damn, it gets cold up north!