Showing the current (system) volume level from Conky is not generally available via a variable; however, it is possible with execpi and a system call such as:
The Mt.Gox Ticker script grabs the current price, high, low, and volume of Bitcoin from the money ticker JSON API from Mt.Gox via a simple python helper script.
I typically setup and use conky on most of my linux computers. This article show's my typical conky setup along with the items / addons used to achieve the setup. I've also attached my .conkyrc file for reference or use but please note that you may want to adjust it (for example, the keymap list will be useless to you).