Gun Bay, Cayman Islands offers 2 beaches perfect for sunbathing, surfing, swimming, and more. Gun Bay, East End, Cayman Islands, is known for its proximity to the stunning underwater landscapes of the East End Dive Sites. The best time to travel to Gun Bay, Cayman Islands, is between March and June, when the average air temperature is around 82°F (28°C) and the water temperature is approximately 80°F (27°C). Sandee provides detailed maps, photos, and reviews from fellow beachgoers to help you Choose Your Beach™ and plan your perfect beach vacation!