Menstrual cup always leaks ;(

I've only heard amazing things about cups from people who use them, so I figured I'd give it a try. I got the MeLuna cup and I've only used it 3-4 times, but each time it leaked right away :( I'm pretty sure it opened all the way so I don't think that's it 
Has anyone else ever had this problem? Any suggestions? I REALLY don't want to give up on it since it seems so much better than the alternatives, but I've switched back to tampons for now :/