Can I change a new Industrial piercing early & put an athletic earring during sports?

I wouldn't. While it's probably okay to change the stud once, repeatedly changing it will drastically increase the time it takes the piercing to heal and also increases the risk of infection because of the constant irritation to the pierced areas. Try covering your ear with a gauze pad (fold it in half so it covers the front and back of your ear, with the fold running parallel to your stud, then tape in place). This will protect your piercing from being yanked at without constantly switching studs.