Chairman David Cardoza has warned that he cannot keep the club afloat single-handedly but Gray is sure that Administration is not an option.
"People talk about administration but there's been no hint of that as such," Gray told BBC Northampton.
"I don't think that will happen. I'm sure the chairman will fight tooth and nail to keep us afloat."
On the possible sale of his squad Gray said: "I'll have to deal with the transfer window when we come to it.
"The chairman has put a lot of money into the club and there comes a point when that has to stop.
"If it means losing my best players then I'll have to look into the loan market but I'm sure the chairman will fight tooth and nail to keep them here.
"The be-all and end-all is we have to have a football club. You have seen other clubs in our league go into administration and I am sure that that will not happen here but we are not being helped."
Tough times indeed.