Rekordbox w DDJ-200 Headphone Cue not working

I can't get any sound out of my headphones. 

I've got a DDJ-200 with Rekordbox on a Macbook Air and under Headphones Output it only shows Option 1 and Option 2. I've got the Headphones Master and Cue buttons on, the Mono Split on (sound is coming out of the speaker I have plugged into the splitter cable, but not the headphones that are plugged into the other splitter cable), the headphone Mix and Level knobs up... HELP! I've watched/read everything I can find online on this and cannot get it to work. 

Even if I set the Audio to External Headphones, I hear nothing.