Why? Because it's too cold for clouds.

Actually, this is one of those correlation-causation issues: cold days like today (it's -15°C right now) are usually clear and sunny because both conditions result from a high-pressure system floating over the area. Still, it's pretty cold:

A February hasn’t opened this cold here in the 17 years since 1996. The combination of bitterly cold temperatures, hovering at daybreak Friday near or below zero [Fahrenheit] in many corners of the metro area, plus the biting west winds gusting as high as 48 km/h, are producing 15 to 25-below zero wind chills—readings as challenging as any Chicagoans have encountered this season.

The first reported -18°Cor lower wind chill occurred Thursday at 8 a.m. and the expectation is a 40 or more hour string of consecutive sub--18°C wind chills is likely to continue through midnight or a bit later Friday night in the rising temp regime predicted to take hold at that time.

Still, it's February, which means lengthening days, warmer temperatures, and pitchers & catchers. Yay!