Investors reduced their overall equity exposure in May for the second month in a row even as the S&P 500 hit a record high, according to a monthly proprietary trading survey from TD Ameritrade.

The firm's so-called IMX Index, which monitors the behavior of the largest pool of retail traders, fell for a second month in value but still remains in the moderately high range.

"There's overall skepticism with the market at highs," said Nicole Sherrod, managing director of TD Ameritrade's Trader Group. "They were still taking profits and seeking yield."

One interesting tidbit after peeking inside their customers' books was the explosion of trading in Tesla, which was the most actively traded stock in their retail pool.

The electronic-car maker nearly doubled in May as short-sellers were forced to cover after stellar reviews for the company's flagship vehicle, the Model S. Founder Elon Musk said at its annual meeting that he will sell 15,000 units of the luxury sports car this year.

(Read More: Elon Musk: Self-Driving Cars, Hyperloops and a Cheaper Tesla)

"Our traders tend to chase momentum," said Sherrod.

But she noted that Tesla's options were among the most actively traded by Ameritrade customers, indicating that some may have been using derivatives to protect themselves in this volatile name.

Other than jumping into Tesla, customers took their overall market exposure down by taking profits in 2013 winners like Microsoft, Cisco and Intel.

They even shed a bit of their exposure in Apple, though the stock remained the No. 1 position by principal value.

(Read More: More Retail Investors In Apple Than Ever: TD)

Retail investors also continued to seek out yield, this time in dividend-paying stocks such as Kinder Morgan and Vale.

Investors may be lightening some positions and increasing others but they are certainly more engaged in the market than they have been in a while. TD Ameritrade trading activity was up 9 percent month over month, the biggest change in 20 months.

TD Ameritrade has 6 million funded accounts from which it pulls this data. Its monthly IMX measure uses a complex formula of those investors which completed at least one trade and weighs more heavily active investors who use leverage.

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