Changing jobs -- Gap of 2-3 months -- Obama penalty for no health insurance?

Hey all,

I'm finishing up at my current job at the end of June. My insurance will end on that last day of work. I won't be starting work until September 1st. I've read online that I can go without insurance for 3 consecutive months. So assuming my first day WITHOUT coverage is July 1, if I start my job Sept 1, does that still count as my penalty free month? I'm also worried because it's unclear to me whether or not the job will start providing coverage for immediately (or even retroactively) on my start date or defer for 60-90 days.

In the worse case scenario, I will have to do COBRA, but cost may be prohibitive. Any suggestions? I am early 30s, healthy, no medical problems/not on meds.

Thanks!