Research on stand-up comedy and jokes has noted that context plays a major role in the generation and interpretation of jokes and humorous routines. However, this research does not formalize the concept and what constitute it in joke exchanges. Centering on Nigerian stand-up comedy, this inquiry is aimed at conceptualizing and describing the contexts that could be found in joking exchanges. The study presents two types: context-of-the-joke and context-in-the-joke. The context-of-the-joke is grounded in shared beliefs that exist between the participants-of-the-joke. The context-in-the-joke is characterized by features such as joke utterance, participants-in-the-joke (most especially the target) and activity-in-the-joke among others. These features make up the contextualization cues that the participants-of-the-joke (both the joke teller and recipient) employ in joke generation and interpretation.