The locally installed Sphinx was old, so I updated it.
% pip show sphinx
---
Name: Sphinx
Version: 1.2.3
Location: /Library/Python/2.7/site-packages/Sphinx-1.2.3-py2.7.egg
Requires: Pygments, docutils, Jinja2
% sudo pip install sphinx --upgrade --ignore-installed six
% pip show sphinx
---
Name: Sphinx
Version: 1.4.6
Location: /Library/Python/2.7/site-packages
Requires: babel, Jinja2, alabaster, imagesize, six, Pygments, snowballstemmer, docutils