With a dayside temperature in excess of 4500 K, comparable to a mid-K-type star, KELT-9b is the hottest planet known. Its extreme temperature makes KELT-9b a particularly interesting test bed for investigating the nature and diversity of gas giant planets. We observed the transit of KELT-9b at high spectral resolution (R ∼ 94,600) with the CARMENES instrument on the Calar Alto 3.5 m telescope. Using these data, we detect for the first time ionized calcium (Ca II triplet) absorption in the atmosphere of KELT-9b; this is the second time that Ca II has been observed in a hot Jupiter. Our observations also reveal prominent Hα absorption, confirming the presence of an extended hydrogen envelope around KELT-9b. We compare our detections with an atmospheric model and find that all four lines form between atmospheric temperatures of 6100 and 8000 K and that the Ca II lines form at pressures between 50 and 100 nbar while the Hα line forms at a lower pressure (∼10 nbar), higher up in the atmosphere. The altitude that the core of Hα line forms is found to be ∼1.4 R p , well within the planetary Roche lobe (∼1.9 R p ). Therefore, rather than probing the escaping upper atmosphere directly, the Hα line and the other observed Balmer and metal lines serve as atmospheric thermometers enabling us to probe the planet’s temperature profile, thus the energy budget.