The S&P 500 is now down roughly 0.85% since hitting its last all-time closing high last Friday -- obviously not a big decline, but a decline nonetheless. Heavily shorted stocks typically get hit hard when the market sells off, but that hasn't been the case during this pullback so far at least.
Below we have broken up the S&P 500 into deciles (10 groups of 50 stocks each) based on a stock's short interest as a percentage of float. So the first decile contains the 50 S&P 500 stocks with the highest short interest, while the last decile contains the 50 S&P 500 stocks with the lowest short interest. As shown below, the 50 most heavily shorted stocks are down an average of 0.76% over the last two days, which is actually outperforming the broad market. The next 50 most heavily shorted stocks are down even less at -0.74%. On the other hand, the 50 least heavily shorted stocks are actually down an average of -0.87%, which is underperforming the market. If you hear comments on the airwaves along the lines of "the shorts are piling on here," keep this chart in mind!