We present observations of a precursory signature that would be helpful for understanding the formation process of sunspot penumbrae. The Hinode Solar Optical Telescope successfully captured the entire evolution of a sunspot from the pore to a large well-developed sunspot with penumbra in an emerging flux region appeared in NOAA Active Region 11039. We found an annular zone (width 3-5) surrounding the umbra (pore) in Ca II H images before the penumbra is formed around the umbra. The penumbra was developed as if to fill the annular zone. The annular zone shows weak magnetogram signals, meaning less magnetic flux or highly inclined fields there. Pre-existing ambient magnetic field islands were moved to be distributed at the outer edge of the annular zone and did not come into the zone. There is no strong systematic flow patterns in the zone, but we occasionally observed small magnetic flux patches streaming out. The observations indicate that the annular zone is different from sunspot moat flow region and that it represents the structure in the chromosphere. We conclude that the annular zone reflects the formation of a magnetic canopy overlying the region surrounding the umbra at the chromospheric level, much before the formation of the penumbra at the photospheric level. The magnetic field structure in the chromosphere needs to be considered in the formation process of the penumbrae.