The 42-year-old cage fighter has been left ''very upset'' after the 'Loose Women' panelist was said to have shown a clip of him in drag using a sex toy to audience members on 'Celebrity Big Brother's Bit on the Side' during a break from filming, and has vowed to take legal action against her.
He said in a statement to The Sun Online: ''I am very upset that such private matters are once again being aired in the press.
''I am taking legal action against Katie Price over her actions and I will not be commenting publicly any further.''
An insider explained how Alex - who married Katie in 2010 but they split just a year later - went straight to police after he heard she'd allegedly been showing off the ''explicit'' footage.
A source added: ''Alex reported Katie to the police after he learnt of the incident. He was told that she had shown an explicit video of him to people during filming for a TV show and was understandably upset.''
One audience member claims the 39-year-old former glamour model showed off the footage, even though no one had ''encouraged'' her to.
The source said: ''She had asked us if we wanted to see it, and none of us replied.
''We all watched it, but we didn't react. No one was laughing or cheering her on or anything like that.
''We didn't want to encourage her.''
A spokesperson for Katie has denied the allegations.
The representative said: ''Katie claims these accusations are untrue.''
And police declined to comment, insisting it would be ''inappropriate'' while they are still investigating.
Katie - who has children Harvey, 15, Junior, 12, and Princess, 10, from past relationships, and Jett, four, and Bunny, three, with estranged husband Kieran Hayler - previously vowed to ''never'' reveal intimate footage of her former lovers.
She previously said: ''When I've split up with exes, they've gone on a rampage, slagging me off. The only way I get retaliation is I do books, but I don't slag them off, I tell the truth.
''Now, with Alex for example, the amount of stories he's done on me, but he forgets what videos and pictures I have of him. All my friends have seen them, but not once have I ever put them out. One, it would disturb everyone to the grave and number two, they're not flattering, they're disgusting. You look at them and you're disgusted. So, it doesn't matter what he does, I would never sell my soul and say, 'Wow, do you want to see this then?' I will never, over my dead body, do it, because I wouldn't stoop to that level.''
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