The 21-year-old has made 21 appearances so far this season and played in the impressive 0-0 away draw at Mansfield Town last weekend.
The midfielder also recently notched his first goal for Town in the Checkatrade Trophy victory over AFC Wimbledon and is hoping for more, starting with the visit of the Grecians this weekend.
“Terry (Skiverton) touched on it this week saying it’s a big derby for the club and we’ve got to be right at it so it’s definitely something we’re looking forward to,” Gray told iFollow Glovers.
“Any team in this league’s difficult to beat, but saying that, anyone can beat anyone, so we’re looking to give it a good go.
“They’re a footballing side. I’ve played against them a few times now.
“They’ve got some dangerous players going forward and we’ve got our own strengths as well, so we know where we can hurt them and it will be good.”
On his time at Huish Park, he said: “I’m really enjoying it. (We have) a great bunch of lads and great coaching staff.
“For me personally, I’ve not hit the heights that I hoped to, but I feel like my recent form has been better and hopefully I can continue that until the end of the season.
“Like I said, I’ve really enjoyed playing here and being around the team.
“It was a new bunch that started the season so now we’re getting to know each other more and more and, like I said, there’s big games coming up so hopefully we can really push on and climb up the table.”