You do not need to apply for COBRA before you leave.
Your employer has up to 44 days after your last day of employment or the last day of coverage, whichever is later, to notify you of your right to COBRA and the specifics (dates, amounts, date due etc.). From the date you receive the notice, you have 60 days to elect COBRA. From the date you elect COBRA, you have 45 days to mail in the first check.
The first check must be retroactive to the date of cancellation, so the sooner you apply the less the initial check will have to be.
They MAY legally terminate your coverage until they have received your check. They MUST reinstate retroactive to the date of cancellation once the check is received.
