Hi
This may be exertional headaches. Exertional headaches usually take place a few minutes after exertion. Sexual headaches may be a type of exertional headache ."The sexual headache varies in length from minutes to hours, and the severity may be mild or, more frequently, moderate to severe. The two primary pathophysiologic mechanisms involve vascular components and muscle contraction. One other patho-physiologic mechanism is the headache with low CSF pressure, noted in a few patients with sexual headaches."
Source:http://headachedrugs.com/archives/exercise_induced.html
I suggest that you have this assessed by a neurologist. This may not need immediate intervention however a baseline assessment is necessary. Is there any strong family history of stroke or heart problems?
Indomethacin has been used to control these headaches. Ask your doctor about this.
Do you have neck problem?