Warm air can hold more water vapor than cold air. The higher the temperature of the air, the greater the capacity it has to hold water vapor.
Relative humidity is the amount of water vapor in the air in comparison to what the air can hold. A relative humidity of 40 percent means that the air is only 40 percent saturated with moisture and can hold more water vapor.
In general, for each 20 F decrease in temperature, the relative humidity doubles. This means that as the temperature goes up, the relative humidity decreases; in other words, with the same amount of water vapor, cold air is more saturated than warm air.