These may or may not go into post-coital headaches that last for up to a day. This last type can occur by itself as well. Sex headaches are usually felt at the base of the skull, but can be all over. The pain can be mild to exploding. They do not occur with every sex act.
Some people go for years between episodes.
Obviously, sex raises the blood pressure. This in turn raises the pressure in the head. Also, sex causes muscle tightening and tension. Sex headaches are a combination of the blood pressure and muscle tension, for most people. Some cases have been found where there is low pressure of the fluid around the brain and spine.