The Italian Government Security primary market relies on a primary dealer system, i.e. the Treasury selects a group of intermediaries called Specialists, who benefit from a set of obligations and privileges attached to their status. Academic literature paid scant attention to one of the main privileges, namely the right to participate in reserved auction reopenings. This consists in the right to buy predetermined additional quantities of Government securities at the price settled at the auction. This paper attempts to price this privilege as a call option written on the auctioned bonds in the framework of the Cox – Ingersoll – Ross model. No matter the one-day life, the option has a value significantly different from zero. Moreover, the option value helps explaining part of the mispricing occurring on auction days between the primary and secondary market.