It hurts because, deep down inside, we all hope for redemption, that they will come to their senses. And even if we tell ourselves that this is it, we hope that they will show some signs of being the person that we thought we knew, that we thought we married, that we thought loved us.
The good news, is that every time they stab us like this, the healing forms a bigger callus so that eventually indifference develops.
In your case, since he's already moved the OW in, there is no reason to file for divorce immediately. Get out and get what you're owed before he spends more of YOUR money on her. (((hugs)))