This can be caused by a high sulphur content in the petrol you're using. I think the sulphur is oxidised in the catalytic converter, creating the smell.
Maybe if you switch to a low sulphur petrol it'll eliminate the smell. (Although I know if I asked for low sulphur petrol in my local garage, I'd get some very strange looks...)
High sulphur petrol caused a lot of problems in England during the late '90s where the sulphur damaged the cylinder bores of 6-cylinder 5-series. Our M42 engines aren't affected thankfully!