We propose a method to subtract a photon from a double sideband mode of continuous-wave light. The central idea is to use phase modulation as a frequency sideband beam splitter in the heralding photon subtraction scheme, where a small portion of the sideband mode is down-converted to 0 Hz to provide a trigger photon. An optical cat state is created by applying the proposed method to a squeezed state at 500 MHz sideband, which is generated by an optical parametric oscillator. The Wigner function of the cat state reconstructed from a direct homodyne measurement of the 500 MHz sideband modes shows the negativity of W(0,0)=0.088±0.001 without any loss corrections.