In 1917 he founded the Order of the Red Rose, an anti-Semitic group opposed to finance capitalism, with the zoologist George Percival Mudge, and the barrister William John Sanderson.[7]
As a writer, Gray is primarily known for his Gothic ghost short stories collected in 1919 in Tedious Brief Tales of Granta and Gramarye, published under the pseudonym "Ingulphus".[5] Gray also wrote several works exploring the life of Shakespeare, and he was also the author of local history works dedicated to Cambridge and the University of Cambridge.
Gray had six sons with his wife Alice Honora Gell (born 1857), whom he married in 1882.[citation needed] He was widowed in 1927 and died in the Master's Lodge in 1940 at the age of 87.