Current limits on violation of local Lorentz invariance in the photon sector are derived mainly from experiments that search for a spatial anisotropy in the speed of light. The presently operating gravitational wave detectors are Michelson interferometers with long effective arms, 4e5 m, and sensitive to a fringe shift 2e-9. Therefore they can be used to test for a difference in the speed of light in the two arms, as modulated bi-annualy by the orientation of the Earths velocity with respect to the direction of motion of the local system. A limit can be set on the Robertson-Mansouri-Sexl parameter PMM < 10e-15, as compared to its present limit of PMM < 2e-10, an improvement of five orders of magnitude.