The Sheffield Wednesday head coach is keen to bring in a Premier League striker and the Owls have also opened talks to keep midfield duo Lewis McGugan and Roysten Drenthe once their loans expire next month.
Watford midfielder McGugan and Reading winger Drenthe have both impressed at Hillsborough, and Gray wants to keep the duo.
But the Owls boss has dismissed suggestions Wednesday could be tempted to cash in on Republic of Ireland goalkeeper Keiren Westwood - arguably the best stopper outside the Premier League - when the January transfer window re-opens.
Since arriving in the summer from Sunderland, Westwood has relegated former England goalkeeper Chris Kirkland to the bench, and has been in sparkling form, conceding just 16 goals in 20 Championship starts. Only Middlesbrough have a better defensive record in the Championship with 15 goals conceded.
But Gray has refuted rumours Westwood could be heading for the Hillsborough exit.
“Keiren has a two-year contract left with us,” he said. “It’s all speculation, I don’t comment on speculation, I have had no calls or anything like that.
“All we know is that Keiren Westwood has been playing outstandingly well. A fantastic keeper in the Championship.
“If it happens, it happens, I will worry about that if it does happen.
“I think Keiren would be the first to admit, it’s just been down to him, it’s the 10 players in front of him as well.
“When they have got past them 10 players, he has pulled off some decent saves, good saves, and some world-class saves.
“But when you talk about competition for places, I have Chris Kirkland behind him, pushing him, and desperate to get into the team. It just shows competition is healthy for the football club.
“Chris would be the first to admit, he’s knocking on my door wanting a game. Keiren has the shirt and he’s keeping hold of the shirt. But I don’t want any player to be happy not to be in the side. I want players knocking on my door, concerned that they want to get in the team.”
McGugan and Drenthe have enjoyed first-team football, after being sidelined at their parent clubs, and Gray is hopeful the Owls can tie the duo down to long-term loans.
“The first question is the players. They (McGugan and Drenthe) are happy, they are enjoying their football.
“Players want to play and we have given them the opportunity, got them to a good level of fitness, and we are seeing the best out of them.
“But it’s down to their parent club whether they want them to stay. We want them to stay, I think they are keen to stay, but the most important thing is it will be Watford and Reading’s decision.
“Tentatively, the question has been asked. We have got them in the building and want them to stay.”
With the Owls’ injury list easing - right-back Lewis Buxton and defender Kayal Zayatte are due to return to training next week, while striker Caolan Lavery is pushing for his first start of the season - Gray’s priority next month is to bring in a striker after failing before last month’s loan window closed.
He said: “We were disappointed we didn’t get anyone in the last window. It’s just a case of chipping away at Premier League managers, asking if we can have some of your players.
“It’s not just me, we are still looking for that striker.
“I would like to see Lewis (Buxton) back pretty quickly, just to keep Liam Palmer on his toes at right-back.”
The Owls will look to build on back-to-back Championship wins when they host Wolverhampton today at Hillsborough.
The visitors sit just below Wednesday in the table, and both clubs have seen their play-off ambitions fade over recent months following impressive starts in the league.
Kenny Jackett’s side - who include former Owls loanee Danny Batth - have lost their last five outings, but Gray is wary of the “wounded animal”.
“We are playing a team on Saturday, not won in five, and I call it the wounded animal,” he said. “The most important thing is we can’t allow them a foothold in the game, it’s how we start which is the most important thing.
“It’s the intensity we start at, close them down, get in their faces. As we did against Wigan and Blackburn. If we do that I have very confidence the result will take care of itself, and have a good chance of winning the game.
“Wolves started the season very well, a little similar to ourselves, then they have just had a bit of a blip. They were beaten five times, where we were just drawing games. We will give them total respect.
“We can’t throw the good work (from the last two wins) away. We all know two wins at home all season is not good enough to get where we want to get.
“We kept the points total ticking away, and if you had said to me at the start of the season, four defeats from 20 games I would have snapped your hand off.
“I wouldn’t have realised that 10 of them would have been draws though.
“I see the Championship as wide open, only Bournemouth have been consistent. We have 26 games to go and plenty of points to play for.”
Former Nottingham Forest midfielder McGugan is due to start today, despite being stretchered off in last week’s win at Blackburn.
“He was out cold<” said Gray. “The pleasing thing was, about 20 minutes later I looked round and he had took his place in the dugout.
“He woke up with a stuff neck, but has had no reaction, and trained fully Thursday and Friday.”