How long have you had them? Sometimes it takes a couple of weeks (or even longer) for them to settle in and feel safe in a new home. If you haven't had him for long, I would try not handling him at all for a week or so to see if he settles down. After that, you can start short handling sessions again to help him get used to you. Make sure that his cage is somewhere secure and he doesn't have other pets (cats or dogs if you have them) checking out his cage and stressing him out. I'd also make sure he has plenty of hiding places and foliage to feel more secure. Good luck and keep us updated.