Yes, your best bet is online. I've been looking for cephs in Chicago for a while and haven't had any luck. Diurnal octos include Aculeatus (live aquaria) and hummelincki (atlantic, so if you find a place to order one make sure you ask where it's coming from). Live Aquaria octos are great, but often old. Bimacs are also diurnal (from california) and I think we have someone here that can get you one, but they require a chiller. Not sure if that's a problem for you.
hope it helps! If you find a store around Chicago let me know
I got my O. hummelincki from Saltwaterfish.com. The problem with these is if you get a female like I did, they brood within weeks. I have to say it was worth it. I fell in love with immediately. She was out all day and loved to swim. I have only seen octopuses for sale locally a couple times. Once at Living Sea Aquarium and once at Aquarium Adventure on Roselle.
It would be great to find a local supplier but not holding my breath.