That improved away form [took a jolt at Cardiff last Saturday](/sport/football/live/cmy4xjvp3pjjt) when Davies' men suffered only their second loss on their travels to slip to seventh - on a weekend when they could have gone top.
But they were without targetman August Priske and the suggestion is that he will be fit enough to play some part at promoted Lincoln City on Saturday.
Argentine striker Luis Vazquez struggled to fill the void left by the injured Priske but Blues beat Lincoln three times during their League One promotion season, including an FA Cup third round win at St Andrew's, and will still feel good about only their second trip to Sincil Bank 72 years.
"We've made a fairly good start," said Gray. "But there's room for improvement.
"We didn't bring many players in, so the squad chemistry didn't need to adapt too much and there's a togetherness that's stronger than it was last year.
"Togetherness was the key factor when I was at Leicester. That's what wins you stuff. And we've got the grit you're going to need in the Championship."
Gray has scored four times from the bench this season as he bids to win his starting place back from August signing Liam Millar.
"The left side is now very strong. Liam's been a good addition. Probably what we lacked last year.
"He's in the firing line, then me coming on to try and do what he's doing. But I'm getting in the right positions, chances are coming and I'm always confident."