Make two copies of the new made layer and change the parameters for each copy.
The parameters of the first copy:



The layer?s parameters:
Fill 0% on the layers.
Blending mode-Soft Light
Blending Options>Gradient Overlay



Gradient?s parameters:





The parameters for the second copy:
Lift it up a little by choosing the already known Free Transform option.



The layer?s parameters:
Fill 0% on the layers.
Blending Options>Gradient Overlay



Параметры градиента
Gradient?s parameters:





Finally we have to create the last layer, applying the Ellipse Tool (U), of course.



The layer?s parameters:
Fill 0% on the layers.
Blending Options>Gradient Overlay



Gradient?s parameters: