Should I transfer high schools?

Ok, I have been going to my private, all guy High School now for 2 years (junior in the fall of 2010). Frankly, I hate it. The problem is that I don't know if I hate it for the right reasons. It is an extremely tough school with a good reputation and I have great grades there(3.7 GPA). It is also well-known for great athletics and I play baseball and golf, so I am getting involved as well. I don't play very much though, mainly a bench warmer. The thing is though, I am just unhappy all the time. I hate waking up every morning to go to school. I have friends there but I don't hang out with them on weekends and stuff. I just feel out of place completely. The school I want to transfer to is a Co-Ed, Archdiocese Catholic High School that is not as academically challenging. I would be put into all honors and AP's, but still most likely have a 4.0. I would be able to start in sports, and most of my friends that I hang out with go there. Not to mention that it is 11,000 less per year than the school I go to now. Should I transfer and better my social life and opportunities at sports, or should I stay and continue to grind at the school I am at now. My parents are against the idea, so I wanted to know what other people think. Also, would it be bad to transfer with 2 years left of High School. Is it too late?