Wednesday notched up wins against Blackpool and Wigan Athletic over Christmas before taking Manchester City to the wire in the FA Cup last weekend.
They now travel to face a Nottingham Forest side for whom summer recruit Michail Antonio has been one of the major positives of a season of two halves.
Gray told the official SWFC website: "I felt the timing was right when Michail went to Forest and it also gave Jeremy the opportunity. He has taken his chance recently and done well. He has the one thing that defenders do not like and that is pace."
Both sides have snapped up loan signings from Chelsea this week with the Reds adding versatile defender Todd Kane to their ranks and the Owls strengthening with the capture of midfielder Lewis Baker.