The latest data on short interest, the total number of shares of a security that have been sold short expressed as a percent of total tradable shares, reveals that consumer discretionary stocks have the highest average short interest standing at 5.6 percent.

Materials and Technology are the other two sectors with short interest figures greater than the S&P 500 as a whole, 3.69 percent. On the contrary, utilities and health care stocks are the least shorted in the S&P 500. 

Investors track short interest levels to gain a sense of where a stock might be headed, along with some insight into whether any positive news might force short-traders to cover their positions, pushing a stock higher. 

Below is a list of the most heavily shorted stocks in the S&P 500.