Add the olive oil to a saucepan and warm it for a couple of seconds before adding the flour.

Once the flour has been added mix it together with a whisk or wooden spoon to form a paste and let it cook for one minute (this cooks the flour so you don't have a floury taste in your sauce).

Add ¼ of the milk and whisk constantly to remove any lumps. Once it has started to thicken add a little more milk (around ¼ at a time) until you have used up all the milk.

Continue to heat the sauce whilst stirring until thick. Once it's thick enough to coat the back of a metal spoon, take it off the heat and add nutmeg, salt and pepper and cheese if making a cheese sauce.