Futuristic said:
Though Ultear is probably 95% sure to heal Gray, I also think Chelia could be nearby to do some emergency first aid to keep him from dying for the moment , considering she seems to be connected to Lyon (i.e. Juvia/Gray vs. Lyon/Chelia a few chapters back)
Meredy also did some first aid to heal Natsu after he lost to F. Rogue, so if Ultear doesn't immediately come over to give her life for him, I think someone'll at least try patching him up enough to let him get some last words out to have closure with Juvia and all if he's actually going to stay dead.
As it is now, there's no way he's dead without at least having some last words to make his death more impactful. So expect to see him still breathing at the beginning of the next chapter
He took a shot to the head. As in smack through the middle of the brain. He's dead. For now