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We measure entropy and short-range correlations of ultracold fermionic atoms in an optical lattice for a range of interaction strengths, temperatures, and fillings. In particular, we extract the mutual information between a single lattice site and the rest of the system from a comparison between the reduced density matrix of a single lattice site and the thermodynamic entropy. Moreover, we determine the single-particle density matrix between nearest neighbors from thermodynamic observables and show that even in a strongly interacting Mott insulator fermions are significantly delocalized over short distances in the lattice.