A grey market security has no market maker actively quoting it on OTC Markets Group's Inter-Dealer Quotation System. Trades happen only when a buyer and seller find each other and negotiate directly through a broker willing to handle the unlisted instrument. There is no public bid/ask, no consolidated print, and no FINRA-disseminated last sale in real time.
Grey market names typically arise when an issuer has stopped filing disclosure entirely, been deregistered, or never qualified for a higher tier in the first place. Many delisted Chinese ADRs end up in grey market status after SEC compliance actions. Stub equity from bankrupt issuers can also linger here.
Almost no mainstream retail broker accepts grey market orders. Interactive Brokers and a handful of full-service brokers may accept them on a broker-assisted, manual-fill basis only. The buystock.net broker matrix tracks grey-tier access explicitly because for some investors it is the dispositive question.