Answer : 3. "He said that he was going to the market."
Explanation :

When converting direct speech to indirect speech, we need to follow certain rules, including tense changes.

The direct speech sentence is: He said, "I am going to the market."

Here's the step-by-step process to convert it to indirect speech:

1. Change of Pronoun:
   • The pronoun "I" in direct speech refers to the speaker (He). So, "I" changes to "he" in indirect speech.
2. Change of Tense:
   • The present continuous tense "am going" in indirect speech changes to the past continuous tense "was going" in indirect speech.
3. Remove the Quotation Marks:
   • The quotation marks are removed and the sentence is connected with "that."
4. Maintain the Sentence Structure:
   • The rest of the sentence structure remains the same.

Applying these rules, the sentence "He said, 'I am going to the market.'" becomes "He said that he was going to the market."

Therefore, the correct option is: c) He said that he was going to the market.