Saturn, Uranus, and Neptune are known as gas giants: planets made mostly of gases like hydrogen and helium with small, rocky cores. Their moons, however, are pretty much all rock. Why wouldn't these gas giants have gas moons? The answer has to do with a little thing called gravity. Hear Bill Nye's explanation in the following video, then learn more about Earth's moon.
Why Jupiter, Saturn, Uranus and Neptune Are Missing Gas Moons
It's a great question with a somewhat simple answer.
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Where Did The Moon Come From?
The origin story of our moon is murkier than you might expect.