Where are you going? - This is a word order for special questions in English.The structure of almost every simple question in English is based on this same model:
(Question word) - Auxiliary or modal - subject - main verb - (plus the rest of the sentence).
Where you are going... may be a part of a compound sentence : I don't know where you are going.
Or reporting the present: simultaneous reporting. He asks where you are going.
The main thing to remember is that in reported interrogatives, there is
no inversion of subject and verb.