We assume a central thesis about modal auxiliaries due to Angelika Kratzer, the modal base presupposition: natural language expressions that contain a modal component in their meaning, including all English modal auxiliaries and epistemic modal auxiliaries (EMA)s in particular, presuppose a modal base, a function that draws from context a relevant set of propositions which contribute to a premise-semantics for the modal. Accepting this thesis for EMAs leaves open (at least) the following two questions about the meaning of English EMAs like must and might: (i) What constraints, if any, are there on the character of the premise set for an EMA? And (ii) what is the nature of the relationship between premises and conclusion that is required for truth of the EMA statement? I argue for at least a partial answer to (i), with a hypothesis about constraints on the modal base for an EMA: EMAs, unlike some other types of modals, are indexical: They are anchored to an agent-in-a-situation whose doxastic state is currently under discussion in the context of utterance. Realized in a Kratzerian semantics, indexicality sheds new light on a number of outstanding puzzles, including the widely observed variability of anchoring of EMAs, the ways in which EMAs differ from so-called root modals, Yalcin’s (Mind 116:983–1026, 2007) puzzle (a version of Moore’s paradox for epistemic modals embedded under attitudes), how to explain the apparent weakness of necessity EMAs, and problems with second order belief and disagreement.