Earforce P12 headphones- Friends can hear my gameplay from TV

I don't have the option for "Output to Headphones"

So, is there another way or option to make it so that I can hear the TV/my gameplay, and they can't?

Because they can hear pretty much the whole thing.

Or will I have to invest in new headphones/anything to help with me being able to hear my own gameplay and friends won't hear anything?