Many people have dry, itchy scalp when they sweat. This also happens with people who are not sweating but their hair has been wet for several days or weeks. Even if you’re not sweating, your head is still covered in oil glands that produce this oily substance to protect the skin on your head from drying out and cracking due to heat and sunlight exposure. As you perspire more than usual while exercising in the sun, the likelihood of having dry hair increases tremendously. If you don’t want to use a product with alcohol in it, try using something like shea butter or coconut oil before bed each night. You can apply some of these products right after showering so they will melt into your scalp overnight without leaving any residue (which could cause further itching).