I need to get prediction interval for GBM model (loss='ls'). I'm using this example as a basis

http://scikit-learn.org/stable/auto_examples/ensemble/plot_gradient_boosting_quantile.html

My model parameters are chosen by GridSearch, than I'm training with the same params 2 models for lower and higher bounds.
But my Prediction curve sometimes is outside of Prediction interval. It looks odd. How can I solve such issue?