Perhaps the water used to calibrate the hydrometer wasn't clean? Or perhaps the temperature of the water used to calibrate wasn't the same as the beer that was measured? Kai's method of testing is a good way to check it. AJ's right that there could be a few points of variance from stratification. Can you check the beer with a refractometer as well. With a final hydrometer and refractometer measurement the ABV and OG can be estimated. That might give you some confidence on your OG reading.
Woodland Brewing Company Brewing science for those of us without a Ph.D
BLOG: Brewing Boiled Down and learn more on The WBC You Tube Channel Ready to drink: Champagne Cider, 50c 28c and 19c Ale, Adventinus clone. Up next: Douppleweizenbock, Eisbock, Saision Terri, Raspberry Cream Ale