The condition can cause intense itching all over the body and difficulty breathing. CHAjAMP/ Shutterstock People who don’t like to workout will sometimes joke that they’re “allergic” to exercise. But what many don’t realise is that an allergy to exercise is a real thing – and it can be dangerous if not caught in time. Exercise-induced anaphylaxis (EIA) is a rarely heard of severe allergic reaction to moderate exercise. It can cause intense itching all over the body, followed rapidly by an inabil