This server's certificate chain is incomplete.

[iperez_genius]

I hope someone gave give me some direction here. We have run this test
https://www.ssllabs.com/ssltest/analyze.html?d=learn.pyramidanalytics.com&hideResults=off
The results in for the SSL are that the "This server's certificate chain is incomplete."
I have the Private Key file and the Certificate File (both are PEM files) added to the SSL section of openlitespeed admin.

Does anyone know what part of the certificate is missing?