Reduce heat to medium. Stir in flour to coat the mushrooms; cook until flour begins to turn golden, about 5 minutes, to form roux. Add peppers; cook and stir about 1 minute. Pour in sherry wine; allow to sizzle about 30 seconds. Stir in stock. Raise heat to medium-high and bring to a simmer. When it starts to bubble, reduce heat to medium-low and cook until slightly thickened, 10 to 15 minutes stirring occasionally. Add nutmeg and cayenne pepper.