NEW YORK, May 2 (Reuters) - The cost of insuring against further losses in regional U.S. bank stocks stood near a one-month high in options markets on Wednesday, even as shares of lenders saw a reprieve from their recent sell-off. Skew on the SPDR S&P Regional Banking ETF - a gauge of relative demand for puts versus calls - remained elevated, hovering near the highest level since the COVID-19 market slump, data from OptionMetrics showed. The SPDR S&P Regional Banking ETF rose about 1.9% to 39.64 in afternoon trade, though it is down 33% on the year and fell on Monday and Tuesday. "The fact that you didn't see the follow-through from some of these other regional banks, with what would appear to be such great news, really didn't inspire a lot of confidence in some of these regional banks," said Seth Hickle, a derivatives portfolio manager at Innovative Portfolios, referring to JPMorgan’s rescue of First Republic. "The problem with regionals are going to be rising interest rates,” said Matt Amberson, principal at options analytics firm ORATS.

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