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In my experience January through March are the best months to watch whales in Cabo.
Gray whales are the most commonly-sighted whales in Cabo, however your tour guide will point out when he spots a Sei, Fin, Blue or Sperm whale. You can also see Orcas from time to time.
There is all type of whale-watching tours that range from very up-scale through small panga tours. Some boats even include underwater microphones so you can hear the whales sing. If you are lucky you
may even get to pet a whale or see a whale eye to eye!
To sight whales breeching (jumping out of the water) in the waters of the Sea of Cortez is quite common during the winter.
I would recommend you to take a camera and a light wind breaker because it gets kind of breezy out there!
– Jimmy, Cabo San Lucas resident, 5 yrs.