I really wish I knew the answer because I am the same way. It's weird when the doctor tells me to get plenty of exercise...because it makes things worse than they already are. Maybe your body has to get used to it. I'm sure that heat/exertion headaches have something to do with the fact that migraines are many times caused by blood flow and how open/closed your vessels are. Maybe you could try exercising and then immediately after - taking a ice cold shower. My Mom does this after she's been on the treadmill and it seems to work for her.