What is this headache above my right eye in the arch?

Could be... This could be a hang-over, a migraine, a cluster headache or something more ominous. This is something to get checked out with your doc, especially if this is a new headache with no explanation.
Sinus. There is sinus located above your eye. Sometimes that can also cause pain in located in that area. Depending on how long it lasts and whether it has any association with post nasal drip or congestion this could also be the source of your pain.