From a packet of letters in his own hand (now in the National Archives of Scotland) he managed the affairs in London of the Duke of Montrose, amongst others.
In one letter dated 1701 he wrote to the Duke of being kept busy by having to attend Parliament (House) "every morning and every evening".
He was created a Baronet by Queen Anne at Kensington Palace on 5 March 1707, the day before the Act of Union was given Royal Assent.
They had nine children between March 1708 and July 1718, only four surviving to adulthood, and three of those had no issue: There is an error in this entry quoting bits of my article about the Three Gray Baronets.
The brass plate in the Henry VII chapel of Westminster Abbey is in fact that of his son, Sir James Gray (2nd Bt.