There are a lot of hormonal changes during your period, it could be that your body reacts by a headache. I never used to get them, but since having DD get shocking headaches each time which my GP said can happen after all the pregnancy changes. I'm on the pill so skip that week and only have them now and then. I've also found that by taking preventative pain relief, it doesn't get as bad (ie I know it hits about middle of Day 2, if I have something in the morning (and ongoing) it doesn't get as bad).