Why are Io and Europa denser than Ganymede and Callisto?

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The difference in density among the Galilean satellites is primarily due to the thermal conditions present during the formation of the Jovian system.

When Jupiter was forming, the region surrounding the planet was extremely hot. This high temperature prevented volatile substances, such as water ice, from condensing in the inner parts of the circumplanetary nebula where Io and Europa formed. Consequently, these two inner moons are composed primarily of rock, giving them a higher density similar to that of Earth's Moon.123

In contrast, Ganymede and Callisto formed at greater distances from the planet, where temperatures were low enough for volatile materials to condense. As a result, these outer moons contain a significant proportion of water ice—roughly 50 percent of their composition—which is much less dense than rock, leading to their lower overall bulk density.1324