Ive heard that the compass calibration fix has worked for some but not all, as Kenny stated it is a fairly common issue with the iPhone 6 and also the 6 Plus as well. I recommend a simple soft reset to correct the error. Simply hold down both the power button and home button for about 8-10 seconds until the device powers down, and then turn it back on using the power button and the issue should be resolved.
It seems Apple has dropped the ball with the most recent updates to iOS 9. I hope they evaluate and calibrate some changes sooner than later.