As the time of “sell in May and go away” arrived, it seems the short sellers were neither strongly for nor against the notion, as least as far as the most heavily shorted stocks traded on the New York Stock Exchange are concerned. Between the April 29 and May 13 settlement dates, short interest moves among these stocks were mixed and largely in single-digit percentages.

However, one medical supply company stood out, as short sellers piled on Baxter International in the first two weeks of the month.

Note that the five most shorted NYSE stocks still all had more than 120 million shares short at the end of the most recent settlement period.

Sprint

Though its short interest rose less than 2% between settlement dates, Sprint Corp. (NYSE: S) held on to its place at the top of the list again. The more than 196.74 million shares short reported most recently totaled 31.5% of the float. The days to cover slipped from 14 to 12 as the daily average volume rose.

Merrill Lynch was disappointed in Sprint’s most recent earnings report. Its share price jumped about 7% early in the two-week period but gave up nearly all that gain by the settlement date. The S&P 500 retreated almost 1% in that time. The stock closed most recently at $3.52, or almost 3% lower than at the beginning of the year. The 52-week trading range is $2.18 to $5.29.

Vale

The number of Vale S.A. (NYSE: VALE) shares short grew by more than 16.01 million in the two weeks, or nearly 10%, to more than 178.42 million. At the most recent average daily volume, it would take about five days to cover all short positions. The Brazilian miner saw a downgrade earlier this month.

Vale’s shares ended the short-interest period more than 27% lower, and they have slipped another 5% or so since. The stock closed most recently at $3.91, still up almost 18% year to date, but also more than 40% lower than a year ago. The share price has ranged from $2.13 to $6.93 in the past 52 weeks.

Ford

After retreating less than 3% in the previous period, short interest in Ford Motor Co. (NYSE: F) fell a further 6% or so, bringing the number of its shares short to more than 144.08 million at the end of the settlement period. That represented 3.7% of the total float. That was the third period in a row of decline, after the prior eight straight periods of rising short interest. It would take about five days to cover all short positions.

Ford F-150 pickups continue to be wildly popular. Yet the share price retreated more than 2% during the period, though it recovered a little afterward. Ford shares have changed hands between $10.44 and $15.84 apiece in the past year. They were trading at $13.29 on Tuesday’s close, down more than 5% year to date.

Alcoa

Three consecutive periods of retreat, most recently by more than 10%, left Alcoa Inc.’s (NYSE: AA) number of shares short at more than 126.53 million by the end of the latest period. That was 9.9% of the total float. Like Ford, Alcoa held on to its place on this list despite the ongoing decline in short interest. Here too, the days to cover was about five as of the most recent settlement date.

In early May, Alcoa reached a deal to keep its Intalco smelter open. Its share price pulled back more than 17% in the short interest period, but it has turned north again in the past week. The Dow Jones Industrial Average had slipped more than 1% by the middle of the month. Alcoa shares have changed hands between $6.14 and $12.91 apiece in the past year. They closed at $9.42 on Tuesday.

Baxter International

Leaping into the top 10 was Baxter International Inc. (NYSE: BAX) with a more than doubling of the number of its shares short by on the most recent settlement date. The more than 120.63 million shares represents a whopping 22% of the health care company’s available float, and it would take about six days to cover all short positions after a surge in the daily average volume.

Baxter hiked its dividend by 13% early in May, and the share price rose nearly 5% in the short interest period but ended the two weeks less than 3% higher. It has retreated about 4% more since and closed most recently at $43.66. The recent 52-week high of $46.95 compares to the 52-week low of $32.18 from last fall.

And the Rest

Rounding out the top 10 were Freeport-McMoRan Inc. (NYSE: FCX), Petróleo Brasileiro S.A. (NYSE: PBR), General Electric Co. (NYSE: GE), Chesapeake Energy Corp. (NYSE: CHK) and Transocean Ltd. (NYSE: RIG). These five all saw short interest declines of between 6% and 9%, while the number of Pfizer Inc. (NYSE: PFE) shares short plunged more than 22%, allowing the pharmaceutical giant to drop out of the top 10 most shorted NYSE stocks.

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