You bought at apple store or at&t store?Apple stores won't get the sim unlocked versions for some time. Your best bet if to get an AT&T phone for full price. Those usually come unlocked, and if not, you can go to an AT&T store and they will do it for you for free.
I bought the 128GB iPhone 6 space grey from a store in MA near Boston which was unlocked. I am now using this phone in Europe.
I bought mine at the Apple store, but the employee there told me that if after we test my European sim, if it didn't work, I could go to an AT&T store and they will unlock it for me. It worked straight away though so it was fine. Also I had to get the AT&T version because it's GSM rather than CDMA.You bought at apple store or at&t store?