To slightly tweak some of the other answers given here:
Boiling occurs when a (currently-liquid) substance becomes so hot that the pressure of the atmosphere can no longer keep the substance in liquid form–*all* of it will evaporate so long as it remains at boiling temperature. Molecules bounce around and fly apart from each other unless high pressure (force squishing them together) or low temperature (lack of energy keeping them from flying apart) prevents them from doing so. This is why water instantly boils when you put it in vacuum; there *isn’t* any atmosphere to push against it, so it immediately starts flying away.
But the thing is…boiling isn’t the only way for things to evaporate. “Volatile” compounds are ones that can evaporate on their own, without needing to boil first. Water is a very volatile compound, and easily evaporates even when it is barely above freezing. Many other compounds also do this, and that’s how your sense of smell works–your nose responds to tiny concentrations of volatile compounds floating in the air. Alcohol, for example, is a well-known volatile compound. Menthol, the substance that gives peppermint its “minty” taste, is also volatile. (Some volatile compounds are very dangerous, such as gasoline or nitroglycerin–so don’t think only foods can be volatile.)
When you’re in the shower, there’s a large temperature difference between the hot water (40 C, as you say) and the air around you (probably 25 C or thereabouts). This means that the water has excess energy, and the air has a comparative dearth of energy. Energy can be exchanged between them by having the water evaporate–that cools off the hot water, and warms up the air. But since the water evaporating loses some of its energy in the process (heating up the air molecules), it becomes less volatile (volatility is in part a function of initial energy). As a result, some of the water vapor ceases to be an invisible gas, and condenses into a very fine mist of microscopic water droplets–bigger than single water molecules, but much smaller than a true “drop” of water. You’ll notice more of this process if your house is dusty, because dust provides nucleation sites, for the water molecules to “cling” to in order to form these microscopic droplets.
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