Cant are you sure that is the law in your state?? In NJ, pre-existing condition clause doesn't apply if you have been uninsured for less than 61 days. Besides why do you have to cancel your insurance, if you get the ombudsman to convince Anthem to pay for your therapy why cancel your insurance. Then you'll have none and nothing gets paid for you including anything serious. If the law in your state is that you will not get coverage with a new insurance company that's even more reason not to cancel. Check it out and if the state does give you 60 days remember to get a letter of coverage detailing the dates you had coverage with them.
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