Preheat oven to 300 degrees.
Heat oil in a large oven proof skillet. (If you have an oven proof skillet you can make this all in one dish. If not brown in a skillet and transfer to a casserole dish to bake).
Pat the thighs dry and season with salt and pepper on both sides. Brown the thigh on both sides 5-6 minutes each side. Transfer thighs to a platter. If there is more than 2 tsps of fat in the skillet at the end drain off all but 2 tsps.
Add the onion and ¼ teaspoon salt to the skillet. Cook about 3 minutes. Add 2 tsps garlic, bay leaf, cinnamon and cook 1 minute.
Add sherry and cook scraping up browned bits. Let sherry reduce to about half. Stir in broth and chopped tomatoes and return to simmer.
Return thighs to the skillet, Cover skillet and bake 45 to 50 minutes. (If your skillet is not oven proof you will need to transfer everything to an oven proof casserole.)
Finely chop the egg whites and set aside.
When chicken is done remove bay leaf. Transfer the thighs to a platter and cover to keep warm. (Remove skin at this point if necessary).
Take ¾ cup of the cooking liquid, egg yolks, almonds, saffron and reserved garlic and add to blender. Blend about 2 minutes til smooth. Return almond mixture to the cooked chicken sauce. Add 1 tablespoon parsley and the lemon juice. Simmer while stirring til sauce thickens. 3-5 minutes.
Adjust salt and pepper seasoning to taste. Pour sauce over the chicken. Garnish with remaining parsley and chopped egg white.