If you suffer from a migraine during your period, you might just want to read a post I have just written on the TrulyGlutenFree blog. Mine was caused by the sanitary products. I know! Have a read in case this is your issue too; I was convinced it was me hormones or a drop in Mg, or iron or something, but no.
Gluten illness (not coeliac disease) is a very common cause of migraine so read it anyway and think if yours could be because you are being glutened somewhere.