"Mr. Grex of Monte Carlo" is an interesting play of intrigue between the Grand Duke Augustus Peter of Russia, whose incognito is Mr. Grex, an English Secret Service agent, Lord Huntersley and a young American millionaire on pleasure bent, Richard Lane. Mr. Grex and two other diplomats who unofficially represent France and Germany, plan to meet as if by chance in Monte Carlo for the purpose of arranging a secret pact. The American millionaire sees and falls violently in love with Miss Grex, that is, the Grand Duchess Fedora. After several fruitless efforts to gain an introduction to this mysteriously inaccessible young lady, he secures the services of a bandit who is to pretend to hold up Fedora's car so that Lane may effect a rescue. Lane arrives on the scene as per schedule and is informed by the bandit that he has changed his mind and intends to make a real hold-up instead of a fake one. Lane, therefore, makes a real rescue and meets Miss Grex.