Season the chicken thighs generously with salt and pepper on all sides.

Heat the olive oil in a large heavy-bottomed pot or dutch oven over medium-high heat.

Sear the chicken thighs until the skin is golden brown and crispy, about 4-5 minutes per side. Remove chicken and set aside.

In the same pot, add the blanched almonds and toast them in the remaining fat until golden, about 2 minutes. Remove almonds with a slotted spoon and set aside to cool.

Add the chopped onion to the pot and sauté until soft and translucent, about 5 minutes. Add the garlic and cook for 1 more minute.

Pour in the sherry to deglaze the pan, scraping up any browned bits from the bottom. Simmer for 2 minutes.

Return the chicken to the pot. Add the chicken broth and bay leaf. Bring to a boil, then reduce heat to low, cover, and simmer for 25 minutes.

While chicken cooks, make the 'picada'. In a mortar or food processor, combine the toasted almonds, hard-boiled egg yolks, and saffron threads. Mash into a coarse paste. Add a ladle of the hot cooking broth to thin it out.

Stir the almond-yolk mixture into the pot. Simmer uncovered for another 10 minutes to thicken the sauce.

Chop the hard-boiled egg whites finely. Garnish the dish with the chopped whites and fresh parsley before serving.