There are 5 different places where you have to change your address.
Check again and make sure that your address has been changed everywhere it needs to be.
As advised, the only way for the item not to be sent to the wrong address now is to get the seller to cancel the sale or, if they are prepared to do so, to change your address before they send your item.
"There are two ways to be fooled. One is to believe what isn't true; the other is to refuse to believe what is true.”
Søren Kierkegaard, Danish philosopher (1813 - 1855)