I didn't know what the correct spelling was when I was in elementary school, so my teacher looked it up. She said either was correct. If you'd ask me to spell it, I would go with ay, just because that's a pretty common spelling for the long a sound, whereas ey isn't.I read this answer on line and I thought it was brilliant.
Q: What’s the difference between gray and grey?
A: Gray is a color, whereas grey is a colour.