Since the symptoms come with exercise (however mild) angina should be ruled out first with the help of a 12 lead EKG and probably an ECHO and a stress test. Other than this, exercise can be a trigger off migraine which will cause headache and choking sensation. Exercise can also trigger electrolyte imbalance, dehydration, spinal problems etc all of which can cause headache and choking or gag. Your blood pressure too can shoot up with exercise and cause these symptoms. Do discuss this with your doctor and get yourself examined. Take care!
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