The 53-year-old has guided the Owls to 11 points from seven Championship matches since taking temporary charge of team affairs at the beginning of December.
Wednesday chairman Milan Mandaric is expected to appoint a permanent boss after Saturday's match against Leeds United.
"I was going to sit down with the chairman last Tuesday but he had to go out of the country on business," Gray told Sky Sports News.
"He is still away at the moment but I think him and I are going to sit down after Saturday's game. I'm very optimistic. I have got confidence in me doing the job and the chairman's got confidence in me doing the job as well, which is a bonus as such, but the most important thing, I think, is that the players have responded.
"The players deserve a lot of credit. We've got out of the bottom three, we are playing a big team on Saturday in a local derby and we are desperate for another three points."
Wednesday currently sit 20th in the Championship.