You'll need to go to the gym location and request the membership cancelation forms. Also keep in mind that when you cancel they'll charge you for another extra month claiming that it's because they use a 3rs party for their billing which is just ridiculous.
If you send their customer service an email, they can help you properly. You can get the address from their website. The individual clubs don't handle the memberships after the initial set up. That's done at their business offices in Glastonbury.
If you have proof you moved out of state (out of state license) or a medical letter stating you can't use the gym anymore.
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