I assume it's no joke.
There's not much you can do, except explain to them that it's not necessarily what they see in TV or read in books. Since it's inferred that your parents are Christian, I really can't blame them for freaking out - the rejection of Satan is such an integral part of that religion that it must be very difficult for them to accept. You might also explain to them the reason why you decided to become a Satanist.
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