The conversation that led accused family killer Chris Watts to "confess".

Before he allegedly told them “the truth,” police say Colorado dad Chris Watts changed his story multiple times.

Watts is alleged by police to have murdered his 15-week pregnant wife Shan’ann and their two young daughters, four-year-old Bella and three-year-old Celeste last month.

PEOPLE reported his arrest affidavit prepared by police shows that Watts first said he and Shan’ann had a civil but emotional conversation about him wanting to separate after nearly six years of marriage.

Their conversation took place around 5am on August 13, after 34-year-old Shan’ann had returned from a weekend work trip in Arizona. About half an hour later at 5.30am, Chris said, he loaded his truck and went to work with his wife still in bed.

But he later corrected himself: The conversation about their marriage was at 4am.

Both times he said Shan’ann claimed she was going to see a friend that day.

A neighbour’s surveillance video confirmed that Shan’ann was dropped off at home just before 2am and Chris was seen driving away about three and a half hours later.

Watts was arrested on August 15, just hours before police announced they’d discovered the bodies of Shan’ann, Bella and Celeste on a property owned by the Colorado man’s former employer, Anadarko Petroleum. The girls had been submerged in crude oil vats, while their mother had been buried in a shallow grave nearby.

According to the arrest affidavit, police uncovered that Watts, 33, had been having an affair with a coworker prior to the alleged crime.

During questioning after the alleged affair was uncovered, Watts told police he would tell the truth after speaking with his father.

Police agreed and after he and his dad had an in-depth conversation, Watts told his final story. He claimed he flew into a rage after he saw that Shan'ann was "actively strangling" their youngest daughter. Their eldest was already "sprawled" and "blue", he alleged.

Once all three were dead, Watts told police he put their bodies in his truck and drove them to an oil field about 65km from the family's home.

The claim that Shan'ann killed her young daughters is likely to be a key dispute in the case. Authorities dispute this account and have charged him with three counts of first degree murder.

Watts is yet to enter a plea and remains in jail. A source who has spoken to Watts told PEOPLE the gravity of his situation has "hit him like a tonne of bricks."

"Depression is setting in, and he’s despondent."

A source at the jail confirmed Watts is under "close watch protocol" – otherwise known as suicide watch.

Guards must check on Watts every 10-15 minutes to ensure his well-being and must make visual contact with him. Watts is also not allowed the same privileges as other people at the jail, including no access to weights, reading material and television.

He is physically searched several times a day and each day his cell is inspected for contraband.

He can only leave his cell for one hour per day, where he is taken to a small room to shower and make phone calls. No other prisoner can be in this room at the same time.