Combine the oil and flour in a large saucepan over medium-low heat. Whisk to make a smooth paste. Cook, stirring, constantly, until the mixture is a pale blond color, about 3 minutes. Gradually add the milk, whisking constantly, until the mixture thickens, about 5 minutes. Season with the salt, pepper and nutmeg. It there any lumps in the mixture, strain before using.
Makes about 4 cups