How the Moon produces its own water

The Moon is a big sponge that absorbs electrically charged particles given out by the Sun. These particles interact with the oxygen present in some dust grains on the lunar surface, producing water. This discovery, made by the ESA-ISRO instrument SARA onboard the Indian Chandrayaan-1 lunar orbiter, confirms how water is likely being created on the lunar surface.

http://www.esa.int/esaCP/SEM8TBYRA0G_index_0.html