I ran some simulations in Python, and (if I did this correctly), it seems that if r > 0.95, you should expect the most extreme data-point of one variable to be the same in the other variable over 50% of the time (even more if sample size <= 100)
http://nbviewer.jupyter.org/github/ricardoV94/stats/blob/master/correlation_simulations.ipynb
I ran some simulations in Python, and (if I did this correctly), it seems that if r > 0.95, you should expect the most extreme data-point of one variable to be the same in the other variable over 50% of the time (even more if sample size <= 100)
http://nbviewer.jupyter.org/github/ricardoV94/stats/blob/master/correlation_simulations.ipynb