Salt provides several special "dunder" dictionaries as a convenience for Salt development. These include __opts__, __context__, __salt__, and others. This document will describe each dictionary and detail where they exist and what information and/or functionality they provide.
__context__ exists in state modules and execution modules.
During a state run the __context__ dictionary persists across all states that are run and then is destroyed when the state ends.
When running an execution module __context__ persists across all module executions until the modules are refreshed; such as when saltutils.sync_all or state.highstate are executed.
A great place to see how to use __context__ is in the cp.py module in salt/modules/cp.py. The fileclient authenticates with the master when it is instantiated and then is used to copy files to the minion. Rather than create a new fileclient for each file that is to be copied down, one instance of the fileclient is instantiated in the __context__ dictionary and is reused for each file. Here is an example from salt/modules/cp.py:
if not 'cp.fileclient' in __context__:
__context__['cp.fileclient'] = salt.fileclient.get_file_client(__opts__)
Note
Because __context__ may or may not have been destroyed, always be sure to check for the existence of the key in __context__ and generate the key before using it.