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Short sellers appear to be increasing their bets against some of the key dividend stocks we track each and every day, judging by the August 15 settlement date for the short interest versus the July 31 settlement date. While some dividends are set to rise before the end of 2012, it appears that the notion of a dividend bubble seems to be forming in at least some of these and other high payout shares.

We tracked the big short interest changes in the following 10 big dividend stocks: Altria Group Inc. (NYSE: MO), American Electric Power Co. Inc. (NYSE: AEP), Annaly Capital Management Inc. (NYSE: NLY), AT&T Inc. (NYSE: T), Duke Energy Corp. (NYSE: DUK), Kimberly Clark Corp. (NYSE: KMB), Kinder Morgan Energy Partners L.P. (NYSE: KMP), Merck & Co. Inc. (NYSE: MRK), Procter & Gamble Co. (NYSE: PG), Reynolds American Inc. (NYSE: RAI) and Verizon Communications Inc. (NYSE: VZ). What appears to be happening is that some investors seem to be betting that a dividend bubble is present in these shares.

Altria Group Inc. (NYSE: MO) saw a drop in the short interest as investors expected a dividend hike was coming. The short interest fell 8.5% to 44.93 million shares versus 49.13 million shares short at the end of July. The new payout is a yield of 5.2% rather than under 4.8%.

American Electric Power Co. Inc. (NYSE: AEP) saw a very large boost in the short interest. The gain in shares short was 26.9% to 8.389 million shares versus 6.61 million shares short at the end of July. AEP now yields only about 4.4%.

Annaly Capital Management Inc. (NYSE: NLY) is often considered the safest of the high payout mortgage REIT sector. The short interest here shrunk by about 4.2% to 35.152 million shares in the short interest in Mid-August versus 36.676 million shares short at the end of July. The last Annaly payout would generate a yield of just under 13%.

AT&T Inc. (NYSE: T) saw a double-digit gain in the short interest by 10.8% as the short interest rose to 60.737 million shares versus 54.82 million shares at the end of July. AT&T’s dividend is about 5.3%.

Duke Energy Corp. (NYSE: DUK) saw its short interest rise by a sharp 17% to 6.452 million shares versus 5.499 million shares at the end of July. Duke still yields closer to 4.7% as its shares are further from a 52-week high compared to so many peers.

Kimberly-Clark Corp. (NYSE: KMB) saw the short interest fall by 14.5%, down to 8.265 million shares in the mid-August short interest versus 9.665 million shares short at the end of July. The yield here is almost 3.8%.

Kinder Morgan Energy Partners L.P. (NYSE: KMP) saw a gain of 8.6% in its short interest to 3.595 million shares in mid-August versus 3.31 million shares as of the end of July. While this is a “distribution” rather than a true dividend yield, it still screens out at 6% now.

Merck & Co. Inc. (NYSE: MRK) saw a double-digit gain of 11.2% to 28.981 million shares in the short interest as of mid-August versus a short interest of 26.068 million shares at the end of July. Merck is the larger of the big pharma dividends, with its yield showing nearly 3.9%.

Procter & Gamble Co. (NYSE: PG) hardly saw any short interest change at all, which is odd considering an activist investor is involved. P&G’s short interest rose by 1% to 18.585 million shares short from 18.41 million shares short at the end of July, and its dividend is about 3.4%.

Reynolds American Inc. (NYSE: RAI) saw a 4% gain in its short interest as its dividend hike had already been seen earlier this year. Its short interest rose by 4% to 6.32 million shares in mid-August versus 6.078 million shares short at the end of July. Reynolds has a yield of about 5.2%.

Verizon Communications Inc. (NYSE: VZ) saw a gain not as large of that of AT&T’s short interest, but the gain was 3.9% in the mid-August short interest to 41.433 million shares short versus 39.872 shares short at the end of July. Verizon’s dividend yield is close to 4.6% now.

As a reminder, it takes a lot more conviction to short a stock that has a very high dividend. On top of having to pay a broker loan-call rate to borrow the stock, the dividend payouts and the ex-dates play into the equation as well.

JON C. OGG