I often look for these and find them to be more common than I once thought. Typically you'd spot a sun dog as the sun is close to the horizon, but I have seen them higher in the sky. Notice the cirrus clouds; this is key for the creation of a sun dog. The sunlight is refracted through the high altitude ice crystals within the cirrus clouds, and bright 'mock suns' are created 22° on either side of the sun.
Here I've circled the sun dog for easy identification..
Sun dogs are beautiful atmospheric phenomenon, and fun to spot. Start looking out and I'm sure you'll see one soon.
