Lock free collection of performance data from an application program executing in a computer system having a multi-core central processing unit is described. A data collection mechanism creates a water mark queue that includes a data structure to store an array and plurality of pointers, including head, tail, high water mark and low water mark pointers. A plurality of worker threads is spawned, each configured to collect and store data from the application program. The data collection includes incrementing the head pointer, reading an index from a head element of the array and incrementing the high water mark pointer in a single transaction. A context is retrieved corresponding to the retrieved index. An operation is performed based on information contained in the retrieved context. Subsequently, the tail pointer is incremented, the index is written to a tail element of the array and the low water mark pointer is incremented.