A-Rod confirms on video what TMZ broke this morning ... that he and JLo are still hangin' on.
This video was shot outside A-Rod's gym in Miami ... where a photog asked him if he was single. A-Rod answered definitively in the negative. The conversation was interrupted by a phone call, which A-Rod took -- but he told the caller he'd call back, "baby."
We don't if the person on the other end was JLo, but it seems like a good guess.
Remember, A-Rod and J-Lo told TMZ Saturday morning .