Hot engine with no leak found

I drove about three miles from my home when my temperature needle moved over to the 260 range and the alarm sounded. I let the engine cool for a while and I checked the coolant level in the reservoir and in the radiator and both were dry. I added some water to the radiator and drove back home. It did not overheat on the way back home, so I let it run for a while and I checked for leaks everywhere. I thought it might leak and I found nothing. I thought it might be the thermostat, but I figured you guys are the experts, so I will wait for your advice.

Thanks much. You guys have an excellent website.