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In liquid state oxygen molecules are held together by what? Van der Waals forces or covalent bonding?

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This should be by 'Van der Waals' forces and no different to other liquids formed by molecules without a dipole. As the molecules have no dipole the interaction should be due to the induced-dipole induced-dipole energy (or dispersion energy) between two similar molecules and which is proportional to $\alpha^2I/r^6$, where $\alpha$ is the polarisability, I the first ionisation potential and r the separation.

The dispersion interaction is quantum mechanical in origin but can be explained intuitively as follows; although the dipole is zero on each molecule its instantaneous dipole is not. The overall dipole is zero because the time average of the instantaneous dipole is zero. This dipole is caused by the 'instantaneous' position of electrons about each atom's nucleus. However, if there is a nearby molecule the instantaneous dipole moment in one molecule can generate an instantaneous dipole moment in the other. The resulting interaction gives rise to an attractive force between the molecules whose time average is not zero.

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