Wigley and Gray have a good relationship, but the Forest assistant did his friend little favours by signing arguably the Owls best player in the previous transfer window.
It was a move which Wigley informed Gray of prior to it being public knowledge, and he says that the Owls manager was crestfallen as soon as he learned of Forest's interest.
"Stuart Gray is my best mate, so when we rang to let him know we were coming in for him, he was a bit disappointed," Wigley told the Nottingham Post.
Antonio is already starting to show why his former boss was so disappointed to lose him, too.
The powerful attacker already has seven goals to his name at the City Ground and has been a major reason behind their success so far.
The Reds are currently just outside the automatic promotion places, but they have only lost once over the course of the season to date.
It is a brilliant record, which has put them right into promotion contention, and they will be hoping to build on the positive start they have made at the weekend.
Antonio scored two goals in the club's last fixture, a 2-2 draw with Watford, and he is likely to be one of Forest's main goalscoring threats again when they face Blackburn Rovers on Saturday.