I had this issue in my 2003 x5 recently. It is definately a tranny problem as you said. I would firstly try to reset the trans box, or take it to the dealer to do (SW upgrade maybe). Check for any transmission fluid leaks under the car as well. It could be a number of different things like old tranny fluid, valve body needs cleaning and so on. The issue with mine (which is common apparently), was that the system was not being cooled properly due to a faulty valve in the coolant pipe - had it fixed and no more issues.
Good Luck!
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