Can I adjust the volume?

The Apple TV itself does not have volume control, that is dependent on the device outputting the audio. When using the physical remote it has the ability to control volume using IR as well as through HDMI CEC. However, the iPhone is not capable of using IR so it can only use HDMI CEC. In order to use CEC you would need a receiver that supports it and the Apple TV would need to be connected directly to that receiver.