You pay tax to the state you LIVE in; you also need to prepare a NON-resident tax return for the state you work in-----so you have two state returns to prepare. FIRST---prepare a non-resident return for UT, and then prepare a return for CO.
https://ttlc.intuit.com/questions/2895920-why-would-i-have-to-file-a-nonresident-state-return
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