It is probably exercise-induced rhinitis. You are not alone... What can you do about it? Check with your doctor if you have other symptoms but some claritin or zyrtec an hour or so before you workout may help.
I am not a doctor so this should not be construed as medical advice.
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This condition is known as vasomotor rhinitis and is thought to be caused by an imbalance nerves to nasal passages. Your doctor can prescribe ipratropium bromide, trade name Atrovent, to alleviate the problem.