In a medium bowl mix all the dry ingredients, flour, granulated sugar, baking powder, salt, and nutmeg.
In a medium bowl mix together milk, eggs, and vanilla mix well. Add melted butter and thoroughly mix. Add the dry ingredients to the liquid mixture until all the ingredients have been fully combined. Set aside.
Pour oil into a medium pot until it is at least 3 inches deep or about 5 centimeters high. Note: Too low would cause the dough to flatten out.
Heat oil until it reaches 375 degrees F (177 degrees C). For best results or if you can use a thermometer to ensure oil is at the desired temperature. While it heats up Line a plate or baking sheet with paper towels, to soak up oil.
Once the oil reaches 375 degrees F, turn the heat down to medium-low. You are all set to start frying.
Scoop about 1-2 tablespoons of dough, with an ice cream scoop or spoon and gently drop in the hot oil. Do not overcrowd the pan. Overcrowding makes the dough soggy and reduces crispness. Do so in batches.
Fry for a few minutes, about 1-2 minutes, or until one side is golden brown. Flip the dough over and fry for an additional 1-2 more minutes until the other side is golden brown and cooked through.
Use a large slotted spoon or skimmer to remove the donut holes out of the oil. I usually place them on napkins right away to soak up some of the excess oil, before transferring it to a serving plate. Do a taste test before proceeding with the next batch of donuts. Donuts should be cooked through
Continue with the rest of the batter, until it is all used up.
Serve warm or at room temperature, sprinkled with cinnamon sugar or glazed.