As you suspect the meaning here is 'recently stolen'.

Wentworth and Flexner's Dictionary of American Slang says "Stolen recently, and therefore sought actively by the police. 1925: "Stolen bonds are 'hot paper;' stolen diamonds are 'hot ice.'" The idea of something important to the police occurs in some other similar expressions. "The heat is on" means "the police are focussing their efforts on something." "Hot" has a large number of different slang meanings--that one is #11 in the dictionary!