Covariance

$\sigma_xy = \mathbb{E}[XY] - \mathbb{E}[X] \mathbb{E}[Y]$ where $\mathbb{E}[XY]$ is the correlation.

$\rho_{xy} = {\sigma_{xy} \over {\sigma_x \sigma_y}}$ $-1 \leq \rho_{xy} \leq 1$