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I am puzzled to know, What is the reason of hot oil make sound and explode when we pouring water on it?

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The liquid water changes phase when heated above the boiling point, namely it becomes a gas. When water vapor in cavitation bubbles escapes fast, it makes a mess. The sound of splashing aside, notice that nothing happens if the oil is cold.

Related fun fact: The pistol shrimp is so loud, it kills other fish by snapping with its claw.

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Shrapnel. The oil is analogous to the container that holds the explosive (water-->steam) .

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Oil heats up faster than water because it has a lower specific heat capacity. As it reaches past boiling point of waterthe water is denser than oil so its at the bottom. Then it turns into steam and the steam expands splashing the oil everywhere.

As for dropping water into already hot oil its pretty much the same. Its interface determines the rate of heat flow.

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You were the next person to join this site after me, "23120". –  Dimensio1n0 Sep 22 '13 at 12:07
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The essential basic fact is that the boiling temperature of oil is very much above that of water, known to be $100^oC$ at atmospheric pressure (by definition).

For oil, the boiling point varies, but is very often above $200^oC$: $197^oC$ for olive oil, $246^oC$ for corn oil (depending on quality, it can vary significantly), and around $300^oC$ for refined motor oil. Actually, organic oil may smoke, i.e., decompose chenically, much before it boils, but nevertheless at very high temperature such as $191^oC$ for olive oil (extra virgin, higher for other qualities).

Thus hot oil may mean much hotter than the boiling point of water. Whatever the heat capacity of oil, or more precisely its specific heat, which is actually about half that of water, the very high temperature can provide considerable heat that will heat instantly the water to steam state, creating instantly considerable pressure, i.e. an explosive behaviour for each drop of water.

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Yes, its pretty much the same. More precisely, its due to the difference in their temperature and due to vigorous transfer of thermal energy from hot oil to cold water where water instantly changes its state into vapour.

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