Persistence of sexual reproduction among coexisting asexual competitors has been a major paradox in evolutionary biology. The number of empirical studies is still very limited, as few systems with coexisting sexual and strictly asexual lineages have been found. We studied the ecological mechanisms behind the simultaneous coexistence of a sexually and an asexually reproducing closely related species of psychid moth in Central Finland between 1999 and 2001. The two species compete for the same resources and are often infected by the same hymenopteran parasitoids. They are extremely morphologically and behaviorally similar and can be separated only by their reproductive strategy (sexual vs. asexual) or by genetic markers. We compared the life-history traits of these species in two locations where they coexist to test predictions of the cost-of-sex hypothesis. We did not find any difference in female size, number of larvae, or offspring survival between the sexuals and asexuals, indicating that sexuals are subject to cost of sex. We also used genetic markers to check and exclude the possibility of Wolbachia bacteria infection inducing parthenogenesis. None of the samples was infected by Wolbachia and, thus, it is unlikely that these bacteria could affect our results. We sampled 38 locations to study the prevalence of parasitoids and the moths' reproductive strategy. We found a strong positive correlation between prevalence of sexual reproduction and prevalence of parasitoids. In locations where parasitoids are rare asexuals exist in high densities, whereas in locations with a high parasitoid load the sexual species was dominant. Spatial distribution alone does not explain the results. We suggest that the parasite hypothesis for sex may offer an explanation for the persistence of sexual moths in this system.