Modern applications significantly enhance user experience by adapting to each user's individual condition and/or preferences. While this adaptation can greatly improve utility or be essential for the application to work (e.g., for ride-sharing applications), the exposure of user data to the application presents a significant privacy threat to the users, even when the traces are anonymized, since the statistical matching of an anonymized trace to prior user behavior can identify a user and their habits. Because of the current and growing algorithmic and computational capabilities of adversaries, provable privacy guarantees as a function of the degree of anonymization and obfuscation of the traces are necessary. Our previous work has established the requirements on anonymization and obfuscation in the case that data traces are independent between users. However, the data traces of different users will be dependent in many applications, and an adversary can potentially exploit such. In this paper, we consider the impact of correlation between user traces on their privacy. First, we demonstrate that the adversary can readily identify the association graph, revealing which user data traces are correlated. Next, we demonstrate that the adversary can use this association graph to break user privacy with significantly shorter traces than in the case when traces are independent between users, and that independent obfuscation of the data traces is often insufficient to remedy such. Finally, we discuss how the users can employ dependency in their obfuscation to improve their privacy.