WATCH: Steamy sunrise over Lake Michigan on 2nd day of record-breaking cold
When it's this cold, the water vapor in the steam freezes into small ice crystals that give off a shiny glow when light hits them. These crystals are known as "diamond dust," which usually occurs in arctic areas.
WATCH: Historic cold produces 'diamond dust,' other weather phenomena
Temperatures dropped to -21 at O'Hare International Airport, which set a record low for January 31 in Chicago. The previous record low for Jan. 31 was -12 set in 1985. The all-time record low for any time in Chicago is -27.
Chicago also set a new record low for January 30 when the mercury dipped to -23 degrees, with a wind chill of -49, at O'Hare.
A Wind Chill Warning remained in effect for the entire Chicago area until noon Thursday, with wind chills between -36 to -55, which can result in frostbite within minutes.
WATCH: Steam rising off frozen Lake Michigan as temps plunge to -23 degrees