Actually, I've heard that such itching is a result of the improved circulation that comes from exercise, and your body's attempt at cooling. Your circulatory system is not only amped up with the exercise, trying to supply all your cells with the oxygen they need to sustain the activity, but it is also trying to cool you by moving blood to your capillaries -- the veins just beneath the surface of the skin. Just as your body will conserve blood in your core when you are too cold, it will push it to the surface for contact with the cooler external environment when you are too hot. Anyway, the upshot of this can be severe itching. Often it is worse when you are out of shape and beginning exercise for the first time, since you overheat easily. I've personally noticed it's worst when I'm exercising outside in cold weather. However, since you've had this problem for a long time, I'd suggest talking to a doctor about it, and seeing if he or she has any suggestions other than "wait for it to go away". In the meantime, maybe try an extra fan or a spray bottle of cool water to help you cool down, or make sure that you're not overexerting yourself + staying in your target heart range?
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