The big leafy nests found high up in deciduous trees, are made by the grey squirrels, and often referred to as dreys. In autumn, squirrels begin building these nests, usually several in close proximity, and through the winter you may find them refurbishing the nests, particularly after heavy snows or winds have knocked them askew. The squirrels will also use cavities, just as the red squirrels do, and will often use both types of shelter in winter.

By the way, the more commonly seen black squirrel is also a grey squirrel! They are the melanistic form of the grey.