The supernatural elements in Act I include the witnessing of strange sights and omens in the streets of Rome, such as owls flying in the daytime and a lion. In general, Shakespeare has many references to gods and astrological portents, including unnatural weather conditions. Consider Casca's description in Act I, Scene III:
Against the Capitol I met a lion, / Who glazed upon me, and went surly by, / Without annoying me. And there were drawn / Upon a heap a hundred ghastly women, / Transformed with their fear, who swore they saw / Men, all in fire, walk up and down the streets. / And yesterday the bird of night did sit, / Even at noon-day, upon the market-place, / Hooting and shrieking. When these prodigies / Do so conjointly meet, let not men say, / "These are their reasons, they are natural‟; / For I believe, they are portentous things / Unto the climate that they point upon.
The strange atmosphere of the night is repeatedly discussed and referred to by many other characters in the play. All of these portents are on the night preceding the assassination.
There is, of course, the soothsayer who warns Julius Caesar about the ides of March (Act I, Scene II). Calpurnia, Caesar's wife, also has prophetic dreams in which she sees Caesar die (Act II, Scene II). She also recalls the terrible sights reported by the watch:
A lioness hath whelped in the streets; / And graves have yawn'd, and yielded up their dead; / Fierce fiery warriors fought upon the clouds, / In ranks and squadrons and right form of war, / Which drizzled blood upon the Capitol; / The noise of battle hurtled in the air, / Horses did neigh, and dying men did groan, / And ghosts did shriek and squeal about the streets.
And as if that wasn't enough, the augurers would also not have Caesar leave the house because of the results of their ceremony (they didn't find a heart in the entrails of the offering).
Even after Caesar's murder, his murderers are haunted by all kinds of apparitions and symbols in Act V. The supernatural atmosphere leads up to the assassination and prevails even after it is done. The most remarkable incident is the ghost of Caesar which appears to Brutus in Act IV, Scene III.
As far as sources go, you might consider:
Stewart, Helen H. The Supernatural in Shakespeare. London: Ouseley, 1908.
Clark, Cumberland. Shakespeare and the Supernatural. London: Williams & Norgate, Ltd., 1931.
Gibson, John Paul Stewart R. Shakespeare’s Use of the Supernatural. Cambridge: Deighton, Bell & Co., 1908.
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