The 36-year-old has been in prolific form for Manuel Pellegrini's side, scoring four goals in his last five appearances.
As a result, speculation has mounted that the ex-Chelsea midfielder is to extend his loan spell in Manchester.
However, Lampard told the Manchester Evening News: "I am contracted here until January. I am enjoying every minute of training at this level and being able to get game time.
"That is as far as it goes at the moment. Speculation has come because of a couple of goals, but at the moment there is nothing to be said."
New York City do not kick off their inaugural campaign in the MLS until March next year.