The instrument behind the forecast.
Graham measures how E-mini Nasdaq-100 futures move while the US cash market is closed.
One contract can express exposure to an entire index.
Index futures trade on an exchange, require margin rather than full cash funding, and are marked to market as prices change. That makes them useful for hedging, arbitrage and taking market exposure, and a natural place for new information to be expressed quickly.
The futures price is not the index level.
A futures price reflects the underlying index plus the economics of carrying that exposure to expiry, including financing and expected dividends. The gap between futures and spot is the basis.
The specific market used here.
Graham Says uses the E-mini Nasdaq-100 futures contract (NQ), listed by CME Group. It trades during hours when the US cash equity market is closed, allowing overnight information to move NQ before the Composite records a new cash-market price.
NQ expires quarterly, so contract identity and roll handling are explicit parts of the data pipeline.
Primary contract source: CME Group, E-mini Nasdaq-100 futures contract specifications.