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Noble gases have full electron shells, which virtually blocks any other element from bonding with it. However, I've heard about cases where they bond to each other - for example, helium can apparently form a dimer $\ce{He2}$.

How is this possible?

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Noble gases usually do not form strong bonds between their atoms - it takes fair amount of energy to dimerise them into excimers, but those are short-lived excited molecules. Thanks to excitation, shells of the atoms aren't closed and they react, but very quickly they lose energy and become separate atoms. On the other hand there are many stable molecules created by heavier noble gases (mainly xenon) with other elements.

As mentioned in comment, you may heard about detection of so called van der Waals molecules of helium, which aren't "true" molecules, but very weakly bound pairs of atoms. In fact helium vdW dimer may have weakest bond even among them, and it was an achievement to observe it.

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    $\begingroup$ Noble gases do form dimers under low energy conditions, but they are extremely weakly bound and thus difficult to observe with traditional spectroscopic techniques. The bond strength in dihelium is about 7 orders of magnitude lower than that in dihydrogen. As antibonding orbitals are more antibonding than bonding orbitals are bonding we would not expect these to form. The attractions which overcome this partial antibond are dispersion forces. Experimental verification of dihelium can be found in this paper. $\endgroup$ – J. LS Dec 17 '14 at 19:05
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    $\begingroup$ There's also helium dimer article on wikipedia now $\endgroup$ – Mithoron Feb 23 '15 at 17:20
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    $\begingroup$ @J.LS Strictly speaking the helium dimer is no molecule in the sense of the definition as it lacks the ro-vibrational mode. $\endgroup$ – Martin - マーチン Mar 17 '15 at 9:02
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The reason why noble gases form molecules is because of London forces, which are very weak. The electrons in noble gas atoms are on the move all the time, so there will be a moment when they will spend more time in an area, which generates a temporary dipole and allows for interaction with another atom.

An addendum regarding noble gas compounds in general: the first noble gas compound synthesised was $\ce{XePtF6}$. When $\ce{[O2+][PtF6-]}$ was discovered by the oxidation of dioxygen with platinum hexafluoride, it was hypothesised that $\ce{XePtF6}$ could be made via the oxidation of xenon with platinum hexafluoride, because of the similar ionisation energies of dioxygen and xenon.

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