I am about halfway through, just before the meeting between Capa Barsavi and "the Grey King", and it's time to make some wild guesses!
Spoilers for the first half of the book!
So i'm guessing this meeting was set up "in good faith" by the Grey King, by which i mean i don't _think_ he's setting Locke up to fail. In theory letting Barsavi think that he'd killed or captured the Grey King would give him a false sense of confidence, but clearly the Grey King hasn't had any problem dancing circles around Barsavi and doesn't really need that advantage, plus it might damage the mystique he's spent so much time building up.
I do wonder a little if "the other business" the Grey King has to attend to instead of attending the meeting himself is to stop by the temple and grab the wagon full of money that the Gentlemen Bastards have conveniently set up for him. However even at approximately 40,000 crowns, that seems a bit "petty". Sure it's about a month's worth of pay for the Bondsmage, but he's spent several months setting up for whatever it is. Though perhaps an easy score as a sideline to the main plan makes sense.
Although i suppose it's possible that the whole time the Grey King has just been plotting to ruin the life of Locke Lamora for some reason. Steal the gold from the temple while Locke is getting killed or captured by Barsavi. I suppose if the Bondsmage had been willing to show up for just a couple days every week the Grey King could ride out of town with 40,000 crowns at a profit, while Locke is blamed by Barsavi for the whole thing and gets tortured to death. (Or that would be the plan anyways.)
However we haven't had any hints so far that Locke has seriously pissed off anyone with the kind of resources and skills necessary to pull of that kind of caper. So for the moment i'm figuring the Grey King actually wants to take over the city.
It seems pretty clear given the brief "something familiar about him" bit that the Grey King is being set up for a big reveal. My first guess as to his identity was Nazca. Admittedly that theory took a bit of a hit when her dead body showed up. However given that we've got a Bondsmage running about that doesn't put her entirely out of the game. We haven't gotten a lot of description about exactly what Bondsmages can do, but perhaps magicking a corpse to look like someone else is within their powers. Or alternately, perhaps scorpion hawk venom doesn't (necessarily) kill you, but can put you into pseudo-death, perhaps with the help of a little magic. So perhaps the "other business" the Grey King has during the meeting is being "dead" back at home. (Although in that case i wonder how she could be sure she wouldn't be buried or cremated or whatever immediately?)
But in any case, there was a bit of foreshadowing at the beginning of the book about her ending up being the next Capa, and how would her brothers feel about that? Then later the bit about how the Capa pretty much felt that Nazca would be better at the job but he didn't want to set aside his sons because he didn't want his children killing each other. It's certainly possible that Nazca wants to be in charge and knows it's not going to happen the way things are, so is going to extreme lengths to rearrange things to her liking. Whether she means to permanently assume the guise of the Grey King or just get her brothers killed before she's magically resurrected, i don't know. As for how she pulled it all off, it was specifically mentioned that she's in charge of finances for her father. Presumably he's collected quite a lot of money over the last two decades and it would be possible for Nazca to appropriate quite a lot of it for at least a short time before her father noticed. And in addition, Locke's relationship with Nazca was built up a fair bit for her to end up dead so quickly. But that really depends on the nature of the author, and this is the first book i've read by Scott Lynch, so i don't have much basis on how to judge that. Maybe he's a George RR Martin, maybe not.
The other possibility i've considered is that the Grey King is Locke's dad. Just a couple chapters after the "something familiar about him" bit we had a flashback to a scene with Locke telling Jean about how he knew his mom was dead, but wasn't sure what happened to his dad. However there's really nothing to support this idea other than that. Well, and the whole tendency of authors falling back on the overused Luke, I Am Your Father trope.
Oh yeah, and as long as i'm considering gender-flipping, Sabetha has gotten quite a number of mentions but never actually appeared in the books so far. I know Locke feels like they had a bad breakup, but even so this seems like a bit of a harsh response on her part if so. However after all this build-up if she doesn't turn out to be the Grey King and doesn't turn up to save them at the last minute at some point either, i'm going to feel a little let down.
So how do i think it's gonna wrap up? Well given that there are Gentlemen Bastard sequels i expect most of them will survive. I figure 75% that all of them survive and 90% that Locke survives. Given the number of times they've mentioned the dire consequences of killing a Bondsmage i would be not at all surprised if the Bondsmage ends up dead, whether intentionally or not. The next book(s) would then be them trying to survive long enough to either pin the blame on someone else or find some other way to appease the guild. Unless it turns out there's more than one faction in the guild, in which case they could end up as pawns in a magic civil war, but that seems like it might be getting a bit too epic given the tone of the book so far.
Of course if someone does run off with their wagon full of booty then the next book or two could be a quest to recover that. Or they might just have to do the usual the Grey King escaped and now we have to deal with him again in the next book thing. The one thing i don't see is Locke ending up as Capa. Fans frequently want to see their favorite character "win" and end up in charge of stuff, however that's often not as much fun as people imagine, either for the character themselves or for the plot of the story.