Colorado father Chris Watts was arrested on Aug. 15 for the murders of his pregnant wife, Shan'ann Watts, and their young daughters

Murder Suspect Dad Chris Watts Is in 'Mourning,' Source Claims: 'It's All Beginning to Sink In'

After Colorado father Chris Watts was arrested late on Aug. 15 for the murders of his pregnant wife and their young daughters, he was booked into the Weld County Jail — where he showed no emotion during the intake process, according to an investigative source at the time.

But that was more than two weeks ago.

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Now the gravity of the situation has hit the 33-year-old, maintains a second source, who spoke with Watts on Thursday.

“It’s all beginning to sink in,” the source tells PEOPLE. “He’s in the mourning process.”

It’s a marked change in demeanor for Watts, who could face the death penalty if convicted.

The day before his arrest, he gave stilted TV interviews outside his Frederick home pleading for the safe return of his family — his wife of nearly six years, 34-year-old Shan’ann Watts, and their girls, 4-year-old Bella and 3-year-old Celeste — who had been reported missing by a friend on Aug. 13.

“He didn’t seem upset at all,” observed neighbor Terry Witt at the time.

Within hours of Chris’ arrest, authorities announced that they had recovered the bodies of Shan’ann, who was then 15 weeks pregnant, and their kids on property belonging to Chris’ former employer. (He was fired the same day he was taken into custody.)

Image zoom Shan’ann Watts (right) and her daughters Shanann Watts /Facebook

Under police questioning, Chris allegedly admitted that he had strangled Shan’ann — but he gave a startling reason for doing so.

According to an arrest affidavit obtained by PEOPLE, he claimed that after he told Shan’ann he wanted to separate, he saw her strangling Celeste while Bella was “blue” and apparently lifeless in her bed nearby.

Chris purportedly said he “went into a rage” and strangled Shan’ann, the arrest affidavit states. Afterward he allegedly loaded all three bodies into his truck to conceal them at an oil work site some 40 miles east.

Authorities aren’t buying this explanation and, in charging Chris with first-degree murder in all three deaths, they have dismissed his version of events as described in the affidavit.

He is also charged with unlawful termination of a pregnancy in the first-degree, among other crimes.

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Chris now sits alone in an intake cell; according to the Weld County Jail, he is being held in protective custody due to the publicity surrounding his case.

He is permitted to leave his cell under strict supervision for one hour of exercise and to shower — but it is unclear how often he has opted to do so.

He has met with his attorneys as he begins to mount his defense and court documents already filed by his team signal that he is possibly preparing to argue that Shan’ann killed their children, according to one outside expert.

“Obviously, he’s in a tough place,” says the source who spoke with him this week. “And he understands that he’s not going anywhere anytime soon.”

Chris has not yet entered a plea. His attorney is barred from discussing the case, according to a statement from the state’s public defender’s office, which represents him.

His wife and daughters will be laid to rest in North Carolina on Saturday.

Police, meanwhile, have been continuing to gather evidence, according to an investigative source.