Gradel has scored twice in seven appearances, including the only goal of the game when he came off the bench against Leyton Orient on Tuesday night, a winner which maintained Leeds' six-point lead at the top of the table.
Grayson, a former City skipper, told the BBC: "We'll look at Max for a few more weeks. Leicester have loaned him out to get some match practice and we'll see where it takes us in January. They might not want to sell him but while we've got him we'll enjoy him being here.
"He's certainly made an impact, and when a player contributes to the games and settles in very well to the football club, then it makes it easy for you sometimes for your decision to try to keep them, but that will be between us and Leicester to try and sort that out.
"We've extended his loan until January but Leicester have got a recall clause at any particular time and we're grateful to them for letting him out to us."