The Black Cats had looked set to appoint Aberdeen’s Derek McInnes to the Stadium of Light hotseat after agreeing compensation with the Scottich club.
But McInnes rejected the chance to take the job on Thursday, choosing to stay with the Dons.
After news of McInnes’ decision came out, the odds on Grayson fell to 5/4 with some bookmakers.
He had been high in the betting last week and was briefly favourite before McInnes looked to have secured the job.
North End have had no contact from Sunderland regarding Grayson and bookies’ odds aren’t always an accurate indication of where the genuine interest is.
Sunderland have been without a manager since David Moyes resigned shortly after the Wearsiders’ relegation from the Premier League last month.