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Chain Whip

From WikiPedalia

A metal bar with a short length of bicycle chain attached to it, somewhat resembling a whip. This is used as a wrench to unscrew threaded sprockets, or to keep a freehub body from ratcheting backwards while the lock ring is being unscrewed.

Chain Whip

If you don't have a chain whip, or if you are trying to remove a particularly stubborn threaded sprocket, you can substitute a short length of chain held in a vise:

Chain in Vise