Anti alias using pen tool in photoshop doesn't help to make edges smooth

Whenever I use Pen Tool, I can't make my edges smooth enough. I, of course, set the feather radius to 0 and checking the check-box next to the Anti-aliased, but obviously this isn't working as I want it to.

Same thing was with the Brushes, until I reduced the percentage of Spacing in the brush settings. Perhaps there's something like that for the Pen tool as well? Anything?