Short sellers have been flocking to the S&P 500 as the index has posted several all-time high closes over the past few weeks.

Data by Markit Securities Finance reveals that short interest among the index’s constituents has been up by 8% over the past eight weeks, indicating there is scepticism around the recent market surge. The firm measures short interest through the average percent of shares on loan in the S&P 500.

The index closed on June 20 at a new all-time high on the back of comments from the US Federal Reserve.

“Shorts have already had a shot at the market after the slow start to the year. But the recent surge in demand to borrow comes on the heels of a price surge, something which has not been seen in the last 18 months of the rally. Conversely, last year’s strong rally in the first six months saw shorts steadily close out their positions,” said Simon Colvin, analyst at Markit.

Although increased shorting was “pretty universal” across the index, demand to borrow was highest among media companies, with 12 experiencing increases in short interest. Cablevision had the highest rise in demand to borrow with short interest increasing more than two thirds to 12% over the eight-week period.

Colvin noted that short sellers have not targeted the usual favourites. These tend to be consumer durables and semiconductors, which have actually seen lower demand to borrow.

Utilities experienced higher demand, leading it to be the third most-shorted sector over the past couple of months. Names such as Exelon and Consolidated Edison had particularly increased demand. Short interest in Exelon is likely to be linked to discussions of a merger with Pepco.

“This could be a momentum play as these firms have generally outperformed the market in since the start of the year, a trend that we covered last week,” said Colvin.

Food retailers were the second most-shorted sector in the index, although Colvin noted that this was driven mostly by Whole Foods, which has attracted short sellers following poor results.