The Championship club face a 12-point deduction for insolvency, just four weeks after a sale and takeover was completed between two Hong Kong-based companies.
Gerald Krasner of insolvency firm Begbies Traynor said at a press conference on Thursday morning that Wigan's new owners, the New Leader Fund, were no longer willing to finance the club.
In a short video circulating on social media on Thursday evening, Parry is heard discussing speculation around the circumstances of Wigan's administration with a supporter.
“There are all sorts of rumours," he says. "There’s rumours that there is a bet in the Philippines on them being relegated.”
Parry cannot be seen in the video, which only shows a pair of feet, but the EFL confirmed in a statement that their chairman was covertly filmed while speaking with a Wigan fan who lives in the same area.
“The EFL is aware of a video of its chairman posted on social media this evening that discusses recent developments at Wigan Athletic," the statement read.
“It was part of a much wider and impromptu discussion he was having with a Wigan supporter he does not know but who lives in the same area.
“The private conversation focused around the events of the last 24-48 hours, how the EFL can assist and what happens next. The various rumours and reports that have been circulating throughout today were also discussed.
“Whilst the chairman was unaware he was being filmed, he was happy to engage in the debate and appreciates this is a concerning and challenging time for all those associated with the club.”