Authorities have not suggested a motive in the killing.
The Frederick man at the center of a family tragedy claimed that he killed his pregnant wife in "a rage" after he realized that she had strangled their two daughters - a shocking twist outlined in court documents made public late Monday afternoon. Two additional first-degree murder charges accuse him of causing the death of a child under age 12.
Watts faces nine felony charges, including three first-degree murder charges, two counts of murdering a child, one count of unlawful termination of a pregnancy and three counts of tampering with a deceased human body. He is scheduled to appear in court Tuesday morning, when he will be informed of the charges against him.
Investigators said they learned Watts was "actively involved" in an affair with a co-worker.
Two police sources told a local investigative reporter that Watts confessed to the killings, according to Denver 7, the local ABC affiliate.
Watts initially told police and local media that he had no idea where his family members were after his wife and two daughters were reported missing on August 13. He said the family appreciated those who attended a candlelight vigil and expressed support.
"We had cases all the time in the Federal Bureau of Investigation where people were described as being the flawless family or they had the ideal marriage, but frankly you don't know what goes on behind closed doors once they walk into their home", O'Toole said.
Watt, who is 33 years old, had been interviewed Tuesday about the disappearance of his pregnant wife and their two daughters.
There, he told officers that he buried Shanann Watts and dumped the girls' bodies into oil tanks, according to the affidavit.
Chris Watts, 33, was arrested in connection with their deaths but has not been formally charged.
The bodies were found on property owned by Anadarko Petroleum, one of Colorado's largest oil and gas drillers, where Watts had worked as an operator.
The girls' bodies were in an "oil well filled with crude oil for several days", Chris Watts' attorneys indicated in a court filing.
Autopsies have been completed but not released. The sheet matched the pattern of pillow cases and top sheets recovered from the kitchen trash can in the Watts' home, according to the affidavit. A neighbor's surveillance footage confirms that the only traffic by the Watts' home that day was Shanann Watts' friend dropping her off at 2 a.m., and Christopher Watts backing his truck into the garage around 5:30 a.m. before leaving.
"It wasn't like her not to answer a phone call or text and when her friend Nicole showed up at the door, I was like "Something's up".
The friend discovered Mrs Watts' vehicle in the garage with the children's auto seats inside, according to court papers.
He told police that "in a rage" he then murdered his wife at their home in the small town of Frederick.
On Wednesday, police took him into custody. If they're not safe right now, that's what's tearing me apart.
But privately, she anxious her husband was cheating, friends said.