The Gray Fox is the leader of the thieves guild. He wears Nocturnal's Cowl that keeps is identity hidden from all.

You can become the Gray Fox by completing the thieves guild questline.  Many people do not believe the Gray Fox exists and believe it to be only a myth. However if you look around you will see sign that say "Wanted Gray Fox." A guard captain named Hermoneous Lex is on is own personal quest to capture the Gray Fox.

The Cowl

When Nocturnal's Cowl is on a person his identity is hidden from all, never to be remembered again. As said above you can get this cowl by completeing the thieves guild questline. It has feather and detect life on it. However if a guard sees you wearing this cowl he will try to arrest you. To reverse this say "Resist Arrest" then take off the cowl and then yielf the guard. You will not own anything because the cowl was on when you resisted arrest, and as we all know with the cowl on your identity cannot be known.

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