Ann: Daily NAV, page-12

Possibly because if you sold the whole lot, you then wouldnt have any entitlement to the rights. If the shares remained above the NAV or rights price, you would then have missed out on the opportunity profit between the rights price (NAV) and the market price, post rights.
This sort of strategy is more easily taken advantage of if there is a wider time gap between the date of entitlement and the date that the options have to be exercised.
This way, you can be entitled to the options, sell some stock following the entitlement, but before the options have to be exercised, and then take up your options.
Its a way of taking a little profit but maintaining the same number of shares pre and post rights.