**tl;dr**
A nuclear explosion requires density. Refined nuclear fuel is denser than what’s found in nature. Outside of outlier examples like the naturally recurring reactor mentioned in another comment, this isn’t common in nature.
**Example 1: Natural Uranium**
Imagine you’re standing next to a big empty swimming pool that has maybe two or three beach balls scattered in it. You throw another beach ball in the pool, not aiming at anything in particular.
It’s probably not all that likely that your ball is going to hit the others right? And even if it did, the ball you threw isn’t likely to hit one of the other ones, nor is it likely that any ball it did hit would hit one of the other ones.
This is kind of how it works with natural uranium. There isn’t a high enough concentration of nuclear “stuff” to run into each other over and over; which is what a chain reaction is; which is what causes a nuclear explosion/meltdown.
Further natural uranium isn’t really pure, meaning that in our pool, there’s other stuff getting in the way of the beach balls. We’ll go with basketballs for our example. So if there are a bunch of basketballs in the pool, there’s even less of a likelihood that the beach balls will run into each other, because there’s stuff in the way.
**Example 2: Refined uranium**
Now put a couple hundred beach balls in that pool. If you throw another ball in there you probably are going to hit one of those other balls; and when you do it’ll probably bounce off and hit another; and those balls will probably hit other ones. Creating a chain reaction.
When we talk about “refining” nuclear material, we’re talking about doing something to make sure there are as few basketballs in the pool as possible; and as many beach balls as possible; making it really really likely that beachballs will run into each other to make energy.
**Meltdown vs Explosion**
Your question was specific to “explosions,” so lets address that one real quick. Basically the difference between a meltdown and an explosion is speed.
In our pool of beach balls, in a meltdown situation the thing that is controlling the likelihood of beach balls running into one another is two things: temperature and density. The density thing is explained in the examples above: more beachballs closer together means it’s likelier they’ll run into each other. For the temperature thing, we use some kind of fluid to keep the beach balls from moving to fast; basically because colder things move slower. So as beach balls move slower, they still hit each other, but less often.
Remove the temperature control and they just hit each other faster and faster overtime and overheat, resulting in a meltdown. But it does take time. This is why Chernobyl is a wasteland and not a crater, because the reactor got hotter and hotter over time, which damages equipment designed to contain it and releases all that nuclear gunk into the environment.
Now to produce a nuclear explosion, you don’t want to just let the reaction slowly build over time, as in the natural reactor example in another comment; you want it to build really really quickly all at once. Like in an instant. To do that you need to increase the density (how close the beach balls in the pool are to one another) really really quickly.
Using the bombs dropped on Hiroshima an Nagasaki; they did this in two ways. Two different fuels (plutonium for one, and Uranium for the other), but the principle is the same. For fat man, they created a ball of material and then wrapped it in explosives that pushed all that nuclear material into a smaller and smaller ball really really quickly; dramatically ramping up how fast and how likely reactions between different bits of nuclear material could occur.
You ever take a little piece of white bread and make a ball to snack on? (I don’t know, I did this when I was 5). It’s kind of the same thing. The white bread starts out all loose and fluffy, but when you shape it in to a ball and push it together it gets much harder, or more “dense;” meaning that all the little bread bits are really close together. Imagine if you could do that and form a perfect ball in an instant that was as hard as possible. That’s how it works.
For Little Boy, they used what’s called a “gun type” weapon; that one worked by basically firing a piece of nuclear material into another one. When one hits the other, density is achieved and boom. Explosion.
In nature (on earth), you don’t have really dense, refined concentrations of nuclear material slamming into one another or becoming instantly concentrated. You sometimes do have deposits that are pure enough to produce energy, which is why the natural reactor example is possible; but the natural explosion idea isn’t all that likely.
**Edit 1. To Respond to part of OPs question I left out:**
>And if splitting atom releases energy, why haven’t these energy break from their atom themselves? Isn’t that means the force that bind the atoms are bigger than the energy released?
When we say “energy” here, it’s not like an atom is a literal box holding a power force waiting to be let loose. We talking about the energy it could produce if enticed.
For example, think of a block of wood. Do blocks of wood spontaneously burst into flames because they “contain energy?” No, because that energy doesn’t just release itself. However, we can measure how much “energy” a block of wood has because we can measure how much heat it could put off/what that heat could power (like with steam or something).
Now think about Coal. Coal burns hotter than wood; and so has more energy than wood, because the same amount of coal and wood would produce different amounts of heat and power.
Now if you had a single stick or a single lump of coal and tossed a match at it would that be a big deal? Probably not. How about a forest or a coal mine? Now you have a big problem.
Now think about an atom. Extremely tiny, but has a lot more energy than wood or coal. If one atom splits do you want to be near it? Probably not, but it’s no where near anything close to if you had many many atoms really close together.
So think about an atom as a tiny block of wood, that “burns” really really hot and fast. So hot and fast that you don’t want to be anywhere near it if its “burning;” but not so incredibly unpredictable that it’s going to spontaneously combust.
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