Air Carrier Captain reports leaving holding without clearance due to confusion; after receiving multiple holding clearances during arrival to ORD.

Narrative

After having been issued holding instructions on three different occasions to the same fix (HAUPO on the WATSN ONE RNAV ARRIVAL) into ORD because of weather delays and a VIP operating into ORD; we inadvertently flew passed our clearance limit because the words 'cleared to' were not expressly stated by Chicago Center. Weather was a factor in causing delays in ORD. Notifications of TFR had been issued for VIP traffic activity for the same time period. Chicago Center advised us that we would be holding for ORD. The holding limit was to HAUPO on the WATSN ON RNAV ARRIVAL. After one turn in the hold; we were cleared to continue on the Watson One RNAV Arrival. Then we were cleared to HULLS and the arrival. Then arrival was canceled and we were given a heading. Then we were cleared back to HAUPO to hold. When we entered the hold ORD opened up; again. This time we were cleared to HAUPO then ESSOP. Before we reached ESSPO ORD closed. We were given headings east and west and finally cleared back to HAUPO with a third hold. I inquired what the plan was to be after HAUPO and Chicago Center replied to continue with the WATSN ONE. We programmed that in the FMS and canceled the hold and then left the hold on the arrival. After passing MKITA; Center said to continue holding at HAUPO; and I replied I thought we were to follow the WATSN ONE. Center replied he had not said 'you are cleared to' continue the WATSN ONE. We continued back to the hold without incident and shortly recleared to ORD. Even writing down all the clearances didn't prevent the eventual misunderstanding over the clearance limit. Ask if there is doubt about or read back to get confirmation.