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Electromagnetic waves differ from mechanical waves in that they do not require a medium to propagate. This means that electromagnetic waves can travel not only through air and solid materials, but also through the vacuum of space.
You may jump higher because the more the mass of the planet, the more gravitational force. There is less mass(and gravity) on Callisto so you wouldn’t be weighed down as much and can jump higher. Whereas on Jupiter there is more weight holding you down.