Hello, the pain likely stems from one of four sources: dehydration; dips in blood sugar; tight muscles in your chest, neck and shoulders; or high blood pressure. Even if you are getting enough water during exercise, make sure you're drinking H2O before you hit the gym, too. Usual paracetamol will relieve pain. Try to relax yourself at the time of headaches by taking regular and deep breath. If pain is severe please consult a neurologist.