I understand that you want to avoid losing your Activity data if possible, but you're trying to set up your Apple Watch with a new iPhone and having some troubles pairing them. I'm happy to provide some help for this.
If you were able to restore your new iPhone from a backup of the old iPhone, you would have been asked if you wanted to set up your Apple Watch during the setup assistant.
If you were unable to restore your iPhone from a backup or did not get that option, you would need to erase your Apple Watch and pair it again. You can read more about this in the article below:
Switch your Apple Watch to a new iPhone - Apple Support
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During setup, keep your Apple Watch close to your new iPhone. When your iPhone asks if you want to use your Apple Watch, tap Continue.
After setup, you can start using your Apple Watch with your new iPhone.
Follow the steps below for your question.
Unpair your Apple Watch from your old iPhone, then pair it with your new iPhone. When asked, restore your Apple Watch from a backup.
To back up and restore your Health and Activity content, you need to restore your new iPhone from your previous iPhone’s backup. If you use iTunes, make sure that you encrypt your backup.
If you want to restore your missing Health and Activity content:
- If you have your old iPhone and didn't erase it, make a new iCloud backup or encrypted iTunes backup. Then erase your new iPhone and restore it from the new backup. Remember to pair your Apple Watch and iPhone again.
- If you don't have your old iPhone or you can't back it up, you can't recover your Health and Activity content.
Your Apple Watch might still be paired with your old iPhone. Use the steps below to pair your devices.
Unpair your Apple Watch from your old iPhone. Then choose one of these options depending on when you set up your new iPhone:
- If you just restored your new iPhone from a recent backup, pair your devices. When you're asked, restore from a watch backup. Your recent Activity, Workouts, or settings content might be lost depending on how old the backup is.
- If your iPhone backup is several days or weeks old and you want to preserve as much content as possible, erase your new iPhone. Then transfer the content from your old iPhone to your new iPhone. You might lose some of the content on your new iPhone. Remember to pair your Apple Watch and iPhone again.
You should erase your Apple Watch, then pair it with your new iPhone. If you restored your new iPhone from a backup, you can restore your watch from a backup when you pair. You might lose Activity, Workouts, or settings on your watch that changed between the last backup and now.
You should erase your Apple Watch, then pair it with your new iPhone. If you’re asked to restore from a watch backup, select the most recent backup. You will lose Activity, Workouts, or settings on your watch that changed between the last backup and now.
Without an iPhone backup, you’ll need to set up your Apple Watch as new. You will lose any previous Activity, Workouts, or settings, but your other content will sync from the new iPhone to your Apple Watch.