I thought I used 4096 bit key but after checking the config file, it looks like I am actually using a 2048 key.
client
dev tun
proto udp
remote server.name 1194
resolv-retry infinite
nobind
persist-key
persist-tun
key-direction 1
remote-cert-tls server
tls-version-min 1.2
verify-x509-name server name
cipher AES-256-CBC
auth SHA256
comp-lzo
verb 1
<ca>
-----BEGIN CERTIFICATE-----
..............................................
-----END CERTIFICATE-----
</ca>
<cert>
-----BEGIN CERTIFICATE-----
..............................................
-----END CERTIFICATE-----
</cert>
<key>
-----BEGIN ENCRYPTED PRIVATE KEY-----
-----END ENCRYPTED PRIVATE KEY-----
</key>
<tls-auth>
#
# 2048 bit OpenVPN static key
#
-----BEGIN OpenVPN Static key V1-----
..............................................
-----END OpenVPN Static key V1-----
</tls-auth>