How to tell my parents ?

My parents are wayyyyy over protective of me now that am pergrant my dad took my keys told me I wasn't allowed to drive even my drivers license and calls my phone like 24/7 when am not home my mom took all my skinny jeans , running shoes , gym cholthes canceled my gym membership and told me that I wasn't allowed to wear those while pregnant and exercise causes misscarriage 
How do I tell my parents to stop being so over protective without hurting there feelings?