Chris Watts, 33, is facing three counts of first-degree murder and six other counts.
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 being held without bond and is due in court Tuesday morning.
Chris Watts, 33, was arrested in connection with their deaths but has not been formally charged.
In the case's arrest affidavit, details of a police interview with Chris Watts present a his version of the events that led to the family members' deaths.
Before his arrest last week, Chris Watts lamented about missing his wife and daughters in local television interviews.
Shannan Watts and the two girls were reported missing by a family friend on Tuesday from their home in Frederick, about 50 km north of Denver.
Atkinson said she contacted Chris Watts, but he didn't seem as anxious as she thought he should be.
"While in the bedroom, via baby monitor located on Shanann's night stand, he observed Bella "sprawled" out on her bed and blue, and Shanann actively strangling Celeste".
"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".
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At that point, Watts said he "went into a rage" and strangled his wife to death, the affidavit states.
Investigators found Shanann Watts' body in a shallow grave Thursday on property owned by Anadarko petroleum, the company Chris Watts worked for until being fired following his arrest, according to court documents.
Online, Shanann had gushed about her relationship with Watts, calling him the "best dad us girls could ask for".
After a multiday investigation, Christopher Watts confessed to killing his wife, loading the bodies into his truck and driving to an oil work site, where he left them. The bodies of the girls were found inside tanks of crude oil.
Despite Watts claiming he did not murder his two children, a defence motion to have the DNA on his daughters' necks tested was denied over the weekend. The judge denied that request, saying he would not tell the coroner how to do his job.
Shanann Watts' body was found on the property of Anadarko Petroleum, authorities said.
He told police that "in a rage" he then murdered his wife at their home in the small town of Frederick. "I just want them back".
The couple had financial problems and filed for bankruptcy in 2015, but so far investigators have not revealed a motive for the killings.
In a video posted on Facebook on 11 June, she filmed her husband's reaction as she revealed she was pregnant with the couple's third child.
"She said she was going to a friend's house with the kids and that's the last thing I heard, and that was it", he said.
Mr Watts told police "it was a civil conversation and they were not arguing but were emotional".