I have two independent variables, 'exercise' and 'sleep', predicting a dependent variable 'depressive symptoms'. I run two simple linear regression models, and the R-square values for each are below. Exercise predicting depressive symptoms R-sq = 20% Sleep predicting depressive symptoms R-sq = 30%. I then run a multiple regression model with both IVs, and the R-squared from this model is 40%. This tells me:

a.I cannot tell whether exercise and sleep are correlated from this information

b.Exercise and sleep are not correlated (statistically independent or orthogonal)

c.Exercise and sleep are correlated