The Black Cats have also made progress in the League Cup with a narrow victory over Bury, and Grayson has admitted that he would have taken their set of results had they been offered to him before the beginning of the season.
The 47-year-old is quoted by talkSPORT as saying: "If you ask any manager after three games to be unbeaten and still in the cup they would take it.
"We have had a difficult start to the season both in terms of our schedule and who we have played. We have taken five points out of nine so I am happy."
Sunderland are next in action when they host Leeds United on Saturday evening.