Observational characterization of exoplanets yields important insights into their composition and atmospheric chemistry. In particular, high-resolution spectroscopy, when combined with the cross-correlation technique, is a powerful and robust probe of planetary atmospheres. The hot Jupiter KELT-9b is of unusual interest because it is the hottest known exoplanet, with a dayside temperature of about 4600K. Therefore, KELT-9b provides an opportunity to probe the interesting atmospheric chemistry that occurs at ultra-high temperatures and provides a valuable constraint on atmospheric chemistry models at their extreme limit. We will present the results of our CARMENES observations of its day-side, in agreement with the previous day-side detection at visible wavelengths. In addition, we will report limits on the presence of molecules in the near-infrared day-side spectrum, and constraints on the atmospheric chemistry.