You could absolutely have a sensitivity to soy, try taking it out of your diet and then reintroducing it later on and see if you get another headache, but it also sounds like it could be a problem with the wheat in the Kelloggs's. A headache may be triggered by foods you are allergic too. Both soy and wheat are top 8 allergens. Switch to a gluten-free cereal like Rice chex, Corn chex or verified GF oatmeal. Food for Life makes different GF cereals, Perky's brown rice cereal. You can also go down into the GF/DF forums for more GF cereal lists. Try almond milk, rice or hemp milk and see if you have the same problem.