The correlation coefficient is the covariance of two variables divided by the product of their standard deviations. The stronger the tendency to move in the same direction, the closer it is to 1, and the stronger the tendency to move in opposite directions, the closer it is to -1. Values near 0 are said to show no correlation.
In derivatives, the price of a product with several underlying assets is affected by the correlation between the prices of those assets. Consider a hypothetical example in which the correlation coefficient between the two stocks in a basket option is 1. The variation in the basket value is the same as that of each stock. If it is 0, the variation is smaller under the same conditions, and the premium of a call falls as well.
The correlation coefficient shows only the strength of a proportional relationship. Even if it is 0, the two values may still be related.