Calcavecchia shot a 5-under 66 at the Copperhead Course at Westin Innisbrook Resort.
This is a big week on TOUR as it is the final full-field tournament of the season. Next week is the TOUR Championship, but the real battle is for those players who have to get inside the top-125 on the money list come Sunday afternoon.
Calcavecchia is 128th, but is exempt for next year thanks to his win at the Canadian Open. He is only here to try and collect another win, but he will have to catch Gay.
Gay is not affected by the money list. He is 96th so he won't have to worry about where he'll be playing his craft next year, but he would like to collect win No. 1.
'My goal is to win golf tournaments. I win one first, then hopefully more,' said Gay. 'I think once you win, you learn a lot and then realize that you can do it.'
Gay flew out of the gate on Thursday. He knocked his third to seven feet at the par-5 first to set up birdie, then rolled in a 25-footer for birdie at the second.
Gay parred the third, but made an unlikely birdie at the par-3 fourth. He hit a 5-iron pin-high, but 40 feet left of the hole. Gay sank the long birdie putt, then tapped in a 3-footer for birdie at the fifth.
He appeared to be in trouble at the par-3 eighth when his tee shot fell near a bunker. Gay flopped his pitch over the bunker and the ball stopped 4 feet from the hole. He converted the par save to stay at 4 under par for the championship.
At the par-4 10th, Gay missed the fairway off the tee, but hit a 7-iron to the middle of the green. He sank the 30-foot birdie putt, then posted a memorable birdie at 13.
His long birdie try at the 13th stayed above ground for almost five seconds. This time the ball went in, but it reminded Gay of the 2000 Honda Classic. At that event, Gay was on the 17th hole and his putt seemed like it was going to fall in, but it took 13 seconds to sink. You are only allowed 10 seconds, so Gay was penalized.
After his sixth birdie, Gay added No. 7 at the 16th when his 8-iron approach landed eight feet from the stick. He holed the putt to take a two-shot lead.
'It was a great start,' acknowledged Gay. 'I didn't really hit it that good in the middle of the round, but I continued to putt well and when I got in trouble, I made a couple of good saves.'
Calcavecchia, who tied for ninth last week in Disney World, was only 1 under par when he made the turn. On his second side, the front nine at Westin Innisbrook, Calcavecchia started with a birdie at the first.
He recorded his first career birdie at the par-5 fifth, then drained a 6-foot birdie putt at the seventh. Calcavecchia closed out his round with a birdie at nine to get into sole possession of second place.
'I played well today,' said Calcavecchia. 'I actually never had any success here whatsoever. We caught a perfect day of weather and the scores weren't super low.'
Chad Campbell, who finished second here last year, opened with a 3-under-par 68. He is tied for seventh place with Will MacKenzie, Jeff Brehaut, Paul Goydos, Mark O'Meara, Jonathan Byrd and K.J. Choi.
The top-125 is not the only battle at hand this week. Next week is the TOUR Championship, which is exclusive to the top-30 on the money list. Ernie Els currently occupies the 30th spot and posted a 2-under 69 to open in a tie for 14th.
Carl Pettersson, who won his first PGA TOUR event here last year, carded an even-par 71 on Thursday and is part of a group tied for 46th place.