The English international is the league's top-scorer with 15 goals this season.
Gray signs four-and-a-half year deal with the Foxes.
Vardy needs an operation to correct a minor issue and is expected to be sidelined for approximately 10 days.
Leicester City go level on points with leaders Arsenal after drawing 0-0 with title rivals Manchester City.
Liverpool have stepped up their interest in Leicester City defender Ben Chilwell.
Manchester City face Leicester City in the Premier League clash on 29 December. Find out how to follow the match live in the UK.
Jurgen Klopp has explained why he started Divock Origi ahead of compatriot Christian Benteke.
Jamie Vardy is a priority January target for Chelsea's new manager Guus Hiddink
Liverpool face Leicester City in the Premier League clash on Saturday. Find out how to follow the match live in the UK.
Leicester City look to maintain surprise Christmas lead as Arsenal and Manchester City loom.
Claudio Ranieri wants Jamie Vardy to stay at Leicester until the end of the season.
Pellegrini adds that Sergio Aguero is still not up to playing a full 90 minutes.
Leicester City surprisingly lead the Premier League thanks to the incredible form of Mahrez.
Costa Rica international spoke to IBTimes UK after the victory over Manuel Pellegrini's side.
Representative Kamel Bengougam says no offer has been lodged for the Algeria international.
Riyad Mahrez has admitted that he has no intention to leave Leicester City in January.
Arsene Wenger believes Arsenal's win over Leicester City did not earn many plaudits.
Walker claims Mourinho slamming his players following the defeat against Leicester City was the final straw.
The Portuguese coach is under pressure at Stamford Bridge after launching a public attack on players.
Mahrez has been one of the players of the season, helping lead Leicester's rise up the table.
Leicester City's in-form duo Jamie Vardy and Richard Mahrez are also on the list.
Jose Mourinho has given up hope for his team to qualify for the Champions League.