The film, which is shooting in New Orleans, co-stars Brad Pitt, Christian Bale and Ryan Gosling. It follows wealthy opportunists who profited off the American economic meltdown in the mid-2000s.
A source tells ET that Selena is playing a Manhattan professional, however it appears she'll appear in a cameo as her participation in the shoot -- which took place at Harrah’s Casino in the French Quarter -- was for only a day.
In 2013, the singer-actress admitted to Ellen DeGeneres that she was starstruck when she first met Brad Pitt after he came to meet her after a concert.
"I was trying to play cool, and be really nice, and as soon as he walked up I ran and I hid under the craft service table for like two minutes because I couldn't believe it was happening," Selena recounted. "He was like, 'Can I have a picture with you?' And I was like, 'Can I have a picture with you?!"
Hopefully, Selena wasn't quite so starstruck this time around.
The Big Short, a dramatic departure for director Adam McKay, also stars Marisa Tomei, Steve Carell and Scarlet Johansson. According to an ET source, Jay Z and Beyonce are also scheduled to film cameos later this week.