Haha, no, the smoke is coming from my hair when I have the dryer on its highest setting, and it only happens intermittently--and only those times when my hair turns out fabulous. I only use that setting when my hair is at its wettest. It's the kind of smoke I get if I unknowingly use a product with oil in it--which my hair HATES. It's from the substance being heated up, not from my hair burning. I can kind of smell it and feel it (the substance). I just don't know what it is. I just know that when it's not there, my hair SUCKS!
The hormone/ovulation theory really isn't that far-fetched. When we are ovulating, our bodies do many things to make us more attractive to the opposite sex. I'm pretty sure it's not a coincidence that I feel that I'm probably ovulating right now. It's such a dramatic difference from one time to the next, though, that I almost dread washing my hair and washing the awesomeness away. I might try to get 3 days out of this.