Wikipedia states that:
The first recorded use of grey as a color (sic: even that word 'color' is a US spelling) name in the English language was in AD 700.
Grey is the dominant spelling in European and Commonwealth English, although gray remained in common usage in the UK until the second half of the 20th century.
Gray has been the preferred American spelling since approximately 1825, although grey is an accepted variant.
It's a grey day here in North Wales too......
Regards,
MTF