I would guess that the chelation is freeing up iron that has been stored in your tissue and organs and it is now appearing in your serum ferritin. Many patients have seen ferritin levels rise when first starting exjade also, but after awhile they go back down. Hopefully yours will do the same.
One other possibility is hyper absorption of iron in the gut. This is common in thal intermedia, but can also occur if the hemoglobin levels are quite low. Once the hemoglobin drops below the 10-10.5 range, there is an increase in bone marrow activity and this leads to excess iron absorption from food. A disorder called hemochromatosis can also cause this to happen.
Make sure you drink tea with your meals to inhibit iron absorption from food and do not eat citrus or drink citrus juices with meals, because citrus helps iron to be absorbed. It is best to use citrus between meals if you want to avoid iron absorption.