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Scientists have found the source of the water on the Moon and Mercury: the solar wind. Key paragraph:
“We found that the ‘water’ component, the hydroxyl, in the lunar regolith is mostly from solar wind implantation of protons, which locally combined with oxygen to form hydroxyls that moved into the interior of glasses by impact melting,” said Zhang, the James R. O’Neil Collegiate Professor of Geological Sciences. “Lunar regolith is everywhere on the lunar surface, and glasses make up about half of lunar regolith. So our work shows that the ‘water’ component, the hydroxyl, is widespread in lunar materials, although not in the form of ice or liquid water that can easily be used in a future manned lunar base.” [emphasis mine]
Though this result would explain the detection of hydrogen on the lunar surface and would also mean that this hydrogen is far less useful for future colonists than previously hoped, it doesn’t eliminate the possibility that there is ice in the permanently shadowed craters near the lunar poles that came from other as yet unknown sources.