Do you take some other medicines, ones that are used for preventing migraine attacks?
What type of migraine you have and how often you are experiencing migraine attacks?
Are you experiencing sharp, severe pain that comes on suddenly when you are nearing an orgasm or you are getting throbbing pain after orgasm?

I don't take any medication to prevent migraines but only because I get very few migraines in any case(once or twice a month for one day). I don't know what type it is but the pain starts behind my right eye and eventually goes all the way to the back of my skull. I experience sharper more severe pain when nearing orgasm afterwards (if I get to that point, the pain gets that severe) the bliss of the orgasm masks the pain and after that its back to what it was before the sex.

Sharp, severe pain that comes on suddenly when the person is nearing orgasm, is a sexual headache known as "orgasmic cephalgia".
It's not that common, but it does occur and it's quite distressing to those who have them (men are three times more likely to suffer from sexual headaches)
The precise cause is not well known, but probably it's a type of "exertion" headache, in which the pain comes on during vigorous physical activity.
During sex (or vigorous exercise), body releases catecholamines, chemicals that increase metabolic activity and it's possible that these chemicals could act as a trigger on the blood vessels in susceptible persons, or that the chemicals could act on certain sensitive areas of the brain to trigger a headache.
Men who get sexual headaches, also tend to suffer from migraine headaches.
Do you get the sexual headaches very frequently?

No, like I said, I only get a migraine about twice a month and that's the only time I have the problem. Although I do get migraines more often when I'm more active.

I was asking how many times you have experienced headache during sex.
Usually, it occur few times and new attacks of headache never come again.

When Ihave a migraine it is worse during sex

Sorry, I made wrong conception
One of the most common type of sex headaches (different types of headaches can be experienced during sex) is intense orgasmic migraine, pain that generally hits fairly suddenly at the time of orgasm.
Sex can be a trigger that causes migraines in 10 percent of all sufferers.
When sexual activity causes migraine attacks its called coital cephalgia, exertional headache, or effort Migraine.
Headaches or Migraine attacks induced by sexual activity may strike prior to, at the time of, or following orgasm.
By slowing down the sexual activity or using beta blockers, drugs used to treat migraines (beta blockers have to be taken for at least several days before they begin to work), you can avoid some headache attacks during sex.