I am sorry to hear the job was so stressful and hope you find something that suits you better.
Call your current insurance and get what is called a "Certificate of Coverage"; you will need that to show proof of current coverage. The advantage of that is that you will be less likely turned down for a new policy and cannot/will not be subject to preexisting condition clauses as a result, IF ALSO, you do not let your insurance lapse and find another policy before your currernt one runs out.
COBRA can be really expensive as you pointed out. I found policies at other insurance companies that were much less than the COBRA being offered. Research online or call for information packets from various providers about coverage and rates; you may be surprised at what you find.
Hope you find something soon that meets your needs and more affordable. Good luck!