Colorado prosecutors, though, filed formal charges earlier in the day, accusing the former oil and gas worker of killing his entire family days before he was interviewed by local television stations and pleaded for his missing family's safe return home.
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Christopher Lee Watts, 33, is charged with three counts of murder, three counts of tampering with a deceased body and one count of unlawful termination of pregnancy. Two of the murder charges were also enhanced because the victims were under the age of 12.
He is being held without bond.
Colorado man arrested after reportedly confessing to killing pregnant wife and two young daughters
Timeline: What happened before Shanann Watts, daughters went missing
Authorities expected to release affidavit explain why they think Watts killed his family
The bodies of his wife, 34-year-old Shanann Watts, and two daughters, 3-year-old Celeste and 4-year-old Bella, were found last week on the property of Anadarko Petroleum, one of Colorado's largest oil and gas drillers. Records show Christopher was employed by the company in 2015.
According to the affidavit, early on the morning of Aug. 13 Christopher Watts told his wife that he wanted to separate. She had returned from a business trip a few hours before their conversation.
Watts told police that he walked downstairs, leaving his wife in their bedroom. When he returned, Watts said he checked a baby monitor on Shanann's nightstand and saw his wife strangling their youngest daughter. He said the monitor also showed their oldest daughter sprawled on her bed, looking blue.
Watts, 33, said he then "went into a rage" and strangled his wife.
He told police that he loaded all three bodies into his work truck, and then he buried his wife at an oil work site and dumped the bodies of Bella and Celeste inside oil tanks.
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. He was fired on Wednesday. Court documents filed by Merson said the girls had been submerged in crude oil for four days.
The affidavit says Watts gave police an aerial photograph of the area and identified three areas where he placed the bodies. Investigators used a drone to search the area and spotted a bed sheet that matched other linens found in the family home, along with fresh dirt.
According to the affidavit, an investigation revealed that Christopher was having an affair with a co-worker. Police noted that Watts denied having an affair in previous interviews.
WATCH: Officials discuss charges against Christopher Watts
The family has strong ties to North Carolina. Shanann was from Moore County and attended Pinecrest High School in Southern Pines. Her family still lives in North Carolina.
Christopher went to Pine Forest High School in Fayetteville and graduated in 2003.
WATCH: Victim's father gives brief, but emotion-filled statement
Shanann's father, Frank Rzucek Sr., of Aberdeen, spoke briefly at a news conference Monday.
"Good afternoon everybody. I am Shanann's dad," Rzucek said. "This is her brother, we would like to thank everyone in the Frederick Police Department and all the agencies involved for working so hard to find my daughter, granddaughters and Nico. Thank you everyone for coming out to the candlelight vigil and saying all your prayers. They are greatly appreciated. And keep the prayers coming for our family. Thank you very much."
Shanann's brother, Frank Rzucek Jr. was also in attendance.
Shanann was reported missing August 13 by her friend Nickole Atkinson after she missed a doctor's appointment.
Atkinson told GMA on Monday that she called police after something felt off.
The Associated Press contributed to this report.