Pilot Whales, with their dorsal fins, are not true whales but belong to the dolphin family.
There are two species, the Long-finned and the Short-finned, but unless you see them together it is hard for a non-expert to tell them apart. These are thought to be the Short-finned.
Short-finned Pilot Whales live in sociable small groups (pods) in temperate, tropical and equatorial deep oceans throughout the globe.
Those shown were in the Atlantic off the Canary Islands where their range overlaps slightly with the Long-finned which prefers colder waters.