This is a diagram showing how atmospheres form.
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The Origin of an Atmosphere
There are four ideas for where the atmosphere comes from: 1. that the planet-elements which made the planets made the atmosphere too, 2. that the atmosphere was drawn to the planet from the cloud out of which everything came, 3. that comets hit the planet and brought molecules of air with them, 4. that volcanos erupted and made an atmosphere.
The one that applies to Neptune is hypothesis #2, in which the original molecules, which Uranus drew out of the primitive gas cloud stayed, and form the atmosphere today.
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