Big Data refers to the digital sensation that authorizes the collection and use of an enormous amount of data derived from both man and machine. All these datasets are characterized into six categories: high volume, velocity, variety, veracity, variability and complexity. Big Data allows different businesses to collect, analyze, and use an individual’s information at a rapid pace. However, it also allows for the power of invading someone’s privacy. In either situation, Big Data creates the discussion of ethical issues correlated to the sharing and usage of data. In this paper, we will discuss the opportunities, risks and challenges of ethics in Big Data, as well as four different ethical theories, which include Kantianism, Act/Rule Utilitarianism, Social Contract Theory and Virtue Theory. These theories help frame our mindset on ethical issues.