Negative searches: volunteers WITHOUT relationship to supervisor
CiviCRM is good at doing searches for a "negative" when it's, "find an empty field"; you can use Search menu » Search Builder for that.  However, for finding whether someone is missing an Activity, Relationship, etc. you need a custom search.  By default, CiviCRM has such a custom search for groups and tags, but not relationships.

Until someone writes that search, here's the workaround:


Do a search with no criteria, which will return all your contacts.  Create a smart group from this search called "All Contacts".
Do an Advanced Search for folks that DO have the supervisor relationship.  Create a second smart group called "Volunteers with Supervisors".
Note: If not ALL of your contacts are volunteers, then modify both of the searches above to only search the "Volunteers" group.
Go to Search menu » Custom Searches.
Click Include / Exclude Search.  On older versions of CiviCRM, this is called, Include/Exclude by Group/Tag.
For "Include Groups", select "All Contacts".  For "Exclude  Groups", select "Volunteers with Supervisors".


The search result you get back is the list of "All Contacts" minus "Volunteers with Supervisors" - which should be volunteers without supervisors.  You can create a smart group out of it so that less data-savvy users can just use the new smart group to generate the list.