This nickname was given to him because of his gray hair, which he had early on in his career, and his graceful, powerful style of play.
Other, less common nicknames for Speaker include:
* "The Sultan of Swat" (which is more commonly associated with Babe Ruth).
* "The Old Man" (which is more of a descriptive phrase rather than a nickname).
It's worth noting that "The Grey Eagle" was the most widely used and the one that truly stuck.