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I don't see the problem - your gradient is going from 100% opacity to 0% and looks fine. If you select the color stop on the right - the 0% opacity, what does it say?
As Melissa says, your gradient looks fine. While we see the solid blue behind the Gradient Editor, we cannot see your Layers panel, options bar, or Tools panel so we cannot tell you what might be wrong.
How did you create the gradient on the layer? What kind of layer were you on? What is on the layer underneath this one?