Yes, you can run without your phone.

The GPS is enabled when you select an activity from the Sports widget. The watch will automatically initiate the search for a GPS signal but as a user you can skip this step at that moment by tapping on the ‘Skip’ button but it will still search GPS during your activity.  But we recommend you search GPS before you start an activity and wait until GPS has full signal. The longer you wait the more it will grab and the better your signal will be.

If the GPS option is initiated and started, the watch will offer a 3 second countdown before tracking begins. You can swipe right to ‘pause’ and tap ‘resume’ to continue. The GPS route is recorded and will be displayed on the watch and mobile application.

There isn't an actual setting to turn off the GPS mode as it should automatically disable once you have stopped or completed your activity from the Sports widget area of the watch.