An unofficial market where securities are traded. Gray (or “grey”) market trading generally occurs when a stock that has been suspended trades off-market, or when new securities are bought and sold before official trading begins. The gray market enables the issuer and underwriters to gauge demand for a new offering because it is a “when issued” market, i.e. it trades securities that will be offered in the very near future. The grey market is an unofficial one, but is not illegal.
The term “gray market” also refers to the import and sale of goods by unauthorized dealers; in this instance as well, such activity is unofficial but not illegal.
Investopedia explains 'Gray Market'
In gray market trading, while the trade is binding, it cannot be settled until official trading begins. This may cause an unscrupulous party to renege on the trade. Due to this risk, some institutional investors like pension funds and mutual funds may refrain from gray market trading.
The gray market for goods thrives when there is a significant price discrepancy for a popular product in different nations. In many nations, there is a substantial gray market for consumer electronics and cameras, because these can be easily purchased online and shipped to any location. Unauthorized dealers may import such items in bulk and despite adding a healthy mark-up, sell them at a price still well below the local cost.
Customers who buy such products for the discount price may face problems in future, and should ensure that they meet local safety and certification standards. Post-sale service and support is another key issue, as authorized dealers may be unwilling to service goods bought in the gray market. Consumers may also occasionally unwittingly buy a gray market product. Some indications that a product is likely to be a gray market one are a price that is considerably lower than that offered by other local retailers, user manuals in a different language and photocopied manuals or duplicated software CDs.
For our purposes, the Grey Market for stocks is when a stock is not on a regulated exchange (like AMEX, NYSE or NASDAQ) and not on one of the OTC tiers (OTCQX, OTCQB or OTC Pink).
It cannot be quoted on an automated system. There isn't a guarantee of best price execution and you are at the whim of your individual broker to try to get you a decent fill. MMs match buyers and sellers and are not selling you shares out of their inventory or buying them for their inventory.
I am amazed this is still on the Grey Market since they are current in SEC filings. If they were smart (chuckle) they would get themselves on the OTCQX or OTCQB before trading begins tomorrow. If nothing else, they should move to the OTC Pink as soon as a MM sponsors them. It is a simple piece of paper to file and the real story here is why none have done so today. It is likely there is some regulatory feedback preventing them from moving off the Grey Market.