I'll add my name to the see a doctor advice. I expect it's probably not serious and probably related to the suddenness of you're taking up the exercise.
But let me add another suggestion. If the initial visit doesn't show anything, schedule another and bring the bike. before the exam ride the bike until the headaches come, then see the doc before they go away. Seeing the actual problem before it goes away will probably be helpful to his getting a handle on it for you.
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Last edited by FBinNY; 04-20-16 at 10:16 PM.