What Neuner said. A little extra info though, you could have some stuff in the coil touching that you don't want touching. You can wiggle that around a bit to fix it and maybe it'll fix itself. If you have wires touching they might be shorting
Best answer is likely a dud coil (it happens)
If you want to troubleshoot it, like Neuner said check all the leads on the end of the coilhead, make sure they're all there and where they're supposed to be. Next try peaking into the coil itself, or even just pushing a small screwdriver/rod in there and wiggling a little, then test it again. If neither of those things help best to just accept it's a dud or learn to rebuild coils because that's what you'll have to do to fix it