Forward audio from BlackHole to the output device.

forwardAudio.py

#!/usr/bin/env python
import sounddevice as sd
import sys

# Download the pkg file of BlackHole
# https://github.com/ExistentialAudio/BlackHole/releases
# Install BlackHole
#
# Install sounddevice
# pip install sounddevice --user
#
# Make file executable
# chmod +x ./forwardSound.py
#
# Click on Mac volume control (on top) and choose 'Output Device': 'BlackHole 16ch'
#
# Check with the following command what name the Built-in Output device has
# python -m sounddevice
sd.default.device = 'BlackHole 16ch', 'Built-in Output'

def callback(indata, outdata, frames, time, status):
    if status:
        print(status)
    outdata[:] = indata

with sd.Stream(channels=2, callback=callback):
    print('#' * 80)
    print('press Return to quit')
    print('#' * 80)
    if sys.version_info[0] < 3:
        raw_input()
    else:
        input()

In the meantime, there is a nice solution available if you like to control the volume of e.g. optical audio output.
For such cases, I recommend Proxy Audio Driver.