There is a type of headache classified in the International Classification of Headache Disorders called exercise-induced headaches. It occurs in people after forcefully exerting themselves over a period of time. It resolves when the exercise activity stops. I've included a link to a nice patient education piece on this topic and you'll see that running is the first activity they list in their group of potentially offensive activities that can induce these types of headaches. The condition is considered benign in 90% of cases and the treatment is hydration, rest, and increased physical conditioning in order to acclimate to the activity that brought on the headache in the first place.

However, there is a small group of 10% for which this type of headache could be brought on by some underlying cause, therefore, if you feel there is an oddity to the headache or you can definitely recall a time in the past that you've run the same way (recently) to a neighbor's house or anywhere and exerted yourself but not had the headache then, getting it checked out is advisable.

It could be telling you about possible problems in the circulation to the brain, small mass lesions in the brain, small bleeds in the brain, or coronary artery disease.

Hope I have answered your query. Let me know if I can assist you further.

Regards,
Dr. Dariush Saghafi, Neurologist