Are they still doing an Ant-Man movie? If so, I'd vote for where Ultron comes from not to be explained until then. Or have Pym as some scientist post-Iron Man Tony is working with, they create something bad, Tony has to come back and Pym later becomes Ant-Man for the same reason. Gives Pym a cameo and sets him up.
I don't think they're actually doing Ant Man. Really, I think you could very easily just insert movie version Tony Stark into the origin story for Ultron without losing anything.