Simply speaking, correlation tells us how closely two markets move together. Markets that move very closely together are said to have a correlation of close to 1. Markets that move relatively opposite each other are said to have a correlation of close to -1.
It is absolutely essential that when trading multiple positions in any market you understand the correlation between those markets. Heavily correlated positions simply increase exposure while negatively correlated positions tend to counter each other limiting profit potential. That table below indicates the correlation between the most popular currency pairs. It is based on daily market movements.