This is a pretty good send up of "Scream" and horror movies in general. In Scream a young girl is terrified when a stranger calls and begins to torment her. In "Chad" a dudebro is pretty much completely unfazed by any of the strangers attempt to threaten him.
Pete Davidson basically plays the trademark Pete Davison unshakable slacker that he's known for while guest host John Mulaney actually proves that he has a little range beyond the voice he usually uses to in his stand-up specials.
While not the funniest of SNL skits, it's still insightful and a fun watch. Check it out: