This is a story typical for an exercise-induced headache:
During exercise, I suddenly felt an immense pressure, starting in the back of my head, on both sides, then radiating to the front.  It improved with rest.  Later that day, I had sex with my spouse, and the headache returned.  It was terrible!  I did not have sex or go to exercise for a couple of days, and I felt alright.   Later on, as soon as I lifted weights, the headache returned!  What is this?

This kind of headache often occurs in healthy people who do not normally have headaches.  This headache can feel severe and it is often evaluated in the ER.    In some ways, it is similar to a serious condition called subarachnoid hemorrhage.   Fortunately, a CT scan helps to show whether this is a subarachnoid hemorrhage or not, sometimes a spinal tap is helpful too.  When these tests are normal a more conservative treatment can be called for.

The exercise induced headache is often relieved by indomethacin or sumatriptan.  These medicines are safe, and they can be used prior to exercise or intimacy to prevent the headache.  One advantage of this type of headache is that is predictable- it tends to occur with certain activity and not at other times.  When it occurs frequently, it can also be prevented by verapamil.  For some reason, it is a temporary headache.   It normally lasts for minutes to hours.   The tendency to have this headache does not last long either.  People with this kind of headache are often better after 2-3 weeks and no further treatment is needed.