Had a sleep study, but not during a cycle. Found I had severe sleep apnea, waking myself an average of 33 times per hour to reinitiate breathing. Got on the CPAP, been on it now for almost 12 years. It has done WONDERS for my sleep but nothing for CH.

orofac pain. 2011 fall;25(4):291-7.
topical review: cluster headache and sleep-related breathing disorders.
bender sd.
abstract
this article reviews the existing literature of the common anatomic and physiologic aspects of cluster headache and sleep-related breathing disorders to point out evidence suggesting potential therapies beneficial for both maladies. a search of pubmed, as well as relevant textbooks, was conducted using the terms cluster, headache, sleep, apnea, pain, and chronobiology to find any previously published work that may connect the two disorders. relevant references in the literature were also investigated. as a group, cluster headache patients tend to have a higher incidence of sleep-related breathing disorders as compared to the noncluster headache population.

WHILE COMMONALITIES IN ANATOMY AND PHYSIOLOGY EXIST, ROBUST EVIDENCE LINKING THE TWO DISORDERS IS CURRENTLY LACKING. MANY PEOPLE ARE UNAWARE THAT THEY SUFFER WITH A SLEEP-RELATED BREATHING DISORDER. THE HIGH INCIDENCE OF THESE TWO DISORDERS OCCURRING TOGETHER SHOULD PROMPT THE CLINICIAN WHO TREATS CLUSTER HEADACHE PATIENTS TO BE ACUTELY AWARE THAT A YET UNDIAGNOSED SLEEP DISORDER MAY ALSO BE PRESENT.
pmid:22247924[pubmed]
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Cephalalgia. 2012 Apr;32(6):481-91.
Cluster headache and sleep, is there a connection? A review.
Barloese M, Jennum P, Knudsen S, Jensen R.
SourceDanish Headache Center, Denmark.

Abstract
PURPOSE OF REVIEW: Sleep and the chronobiological disease cluster headache are believed to be interconnected. Despite efforts, the precise nature of the relationship remains obscured. A better understanding of this relation may lead to more effective therapeutic regimes for patients suffering from this debilitating disease. This review aims to evaluate the existing literature on the subject of cluster headache and sleep. LATEST

FINDINGS: Several previous studies describe an association between episodic cluster headache and distinct macrostructural sleep phases. This association was not confirmed in a recent study of seven episodic cluster headache patients, but it was suggested that further studies into the correlation between cluster headache attacks and the microstructure of sleep are relevant. The connection between cluster headache and the hypocretins is currently under investigation.

SUMMARY: There is evidence in favour of an association between episodic cluster headache and REM sleep whereas no such relation to chronic cluster headache has been reported. Particular features in the microstructure of sleep and arousal mechanisms could play a role in the pathogenesis of cluster headache. Reports indicate that cluster headache and obstructive sleep apnoea are associated. Single cases show improvement upon treatment of sleep apnoea, but the causal relationship remains in question.

PMID:22407656[PubMed]

I couldn't fathom the thought of a sleep study while in cycle, as I can't get any quality sleep for anybody to study 

-Gregg in Las Vegas