The EF context is not thread safe, so I wouldn't do this.
If you need performance then parallel !=
faster. Parallel code allows you to do more at the same time, but you tend to find that a single unit of work takes at least the same amount of time, but sometimes longer due to context switching etc, it's just that instead of doing 5 things one at a time, you are doing 5 things 5 at a time. This gets you more effective use of available hardware, and is less about performance and more about scalability and responsiveness.
As of EF 6 it exposes an asynchronous API for
async/await
support, but this again only allows one "concurrent" action against it. If you want to do multiple asynchronous reads, you will need one context per read action - this then simply puts the onus on the database to manage integrity.