There is, but you have to suspend any game you are playing so you can get to settings. Once there, it can be a little hard to find. Go into SETTINGS>DEVICES>AUDIO DEVICES. In the Audio Devices menu, you should see a slider for "Volume Control (Headphones). Note that it will be grayed out unless you have headphones plugged into your controller, so you must plug in your headphones before you adjust the volume.