To wear compression shorts to a party with nothing else over them is to be wearing party-shorts. The party is typically a college rager. It is often themed as to be the reason that compression shorts are acceptable attire, but doesn't necessarily have to be the case.
Girl:Why is that guy dressed like Lance Armstrong, what type of party does he think this is wearing compression shorts here?
Guy: Oh those are just his party-shorts, he knows what's up.