Selina, I have migraine aura without headache which are caused by low oestrogen, high progesterone, a cycle and hormone instability which in turn causes low levels of serotonin.
As far as I know, menstrual migraines are caused by the drop in oestrogen and rise in progesterone just before a period but it's far from simple unfortunately.
For all types of hormonal migraine, it's best to have a stable delivery of hormones and to avoid a cycle so it would be better to have a continuous combined regime. If you are going to use Utrogestan every day (vaginally is better) I would use two pumps of gel otherwise you might drown out the oestrogen with the progesterone and will not get symptom relief. You might want to consider a Mirena coil for the progesterone component as long as you don't have a history of PMS and progesterone intolerance.
I'm afraid it's far from easy and quite a challenge to find the right HRT regime if you have migraines.
Have you ever tried migraine preventative medication? I'm taking amitriptyline (an AD) and it's really helped so it might be worth speaking to the doctor about that.
I hope that helps.