You may be able to purchase gap insurance or short term insurance that is more affordable than COBRA.
In the past year, DH was laid off and I also had to leave an impossible situation. We found it more affordable to purchase insurance on our own (we shopped at
www.ehealthinsurance.com) than to sign up with COBRA -- we had been unhappy with DH's employee insurance anyway, as they had spent the previous two years terminating their contracts with many of our local health care providers.
Good luck!