Lunar dust looks like gray sand, but there's not a breath of air in it. Oxygen is there — tightly bound in the rocks, like sugar in caramel. To get it out, you need to break chemical bonds, and scientists are looking for the simplest way.
In the lab, they took artificial lunar soil made from samples from the Apollo missions and China's Chang'e. They examined it under an electron microscope, probed it with X-rays, and heated it in a stream of hydrogen. Hydrogen strips oxygen from minerals — turning rock into water, and water into air.
This is good news for future lunar bases. No need to hunt for special deposits: you can process the ordinary regolith right under your feet. The oxygen furnace becomes simpler, and colonists can breathe and fuel rockets without waiting for shipments from Earth.
Lunar soil is about 40% oxygen by mass, almost like Earth's crust, but it's all chemically bound, so you can't just 'filter it out'.
In Andy Weir's novel 'Artemis', the heroine cooks oxygen from lunar aluminum to keep a Moon city breathing.