Date format in pivot table headers

Each time I make a pivot table with dates (month and year) in Columns, there is a always the 1st day of each month in the header. How can I change it so that there is only a month and year, i.e. 06/2016 instead of 01/06/2016?

I only see options like this:

Try below:
1. Select all column labels
2. right click and select 'Format Cells'
3. go to 'Number format' option
4. in opened 'Format cells' dialog box select 'Custom'
5. In the 'Type:' field, enter 'mm/yyyy' and check it is showing the value under sample for example '10/2016'
6. click Ok till all dialogue boxes closed