It's possible you have some air trapped in the system.

Make sure there is enough coolant in the system that the expansion tank never goes lower than about 1/3 full, even when the engine is stone cold.

After you've verified there is coolant in the expansion tank, (and with the cap removed) grasp the upper radiator hose with both hands and squeeze the hose a few times with both hands at the same. This will help purge any trapped air from the system. After doing this, check the level in the tank again and put the cap back on. After a few heat-up and cool-down cycles, make sure the coolant level hasn't dropped too low in the tank.