After sex(ejactulation) my fianc gets a really bad head ache. he says it feels like a migraine and his head is exploding. what could this be?

Coital headache: Despite jokes about women saying "not tonight dear, I have a headache, " men are 3-4 times more likely than women to have sex-related headaches. http://www.bjmp.org/content/what-if-sexual-headache-not-joke it can sometimes be related to tension headaches & migraines. Doctors may treat preventatively with beta-blockers like inderal, (propranolol) and may also want to be sure the person has no aneurysms.

Thunderclap HA's: These are very characteristic as you describe, and very closely associated with male orgasm, and considered a migraine variant. Have seen excellent control with an older migraine preventative, periactin (cyproheptadine hydrochloride) (cypro-heptadine), and worth trying this or another of many migraine agents. Worthwhile checking MRI but usually aneurysm not present.

Post coital headache: Approximately 3 - 4% of men experience headaches associated with sex. Post-coital headache is a sudden, severe, explosive headache which occurs after orgasm. Like migraines, these are vascular headaches. Post-coital headaches can often be prevented with some of the same medications used to prevent migraine headaches. For more info see: http://understandingmigraine.blogspot.com/