Sprinkle the yeast over the milk. Add the sugar and whisk to combine. Let stand for 10 minutes or until foamy.
1 ½ cups whole milk, 4 ½ tsp active dry yeast, ⅔ cup granulated sugar
Split the vanilla bean lengthwise and using the back of your knife, scrape out the caviar. Add the caviar to the yeast mixture and set the vanilla bean pod aside.
1 vanilla bean
Whisk the oil, eggs, and vodka into the yeast mixture and transfer to the mixing bowl of a stand mixer fitted with a dough hook attachment. Sift in the flour and add the salt. Mix on low until a sticky dough forms. It should quite sticky, so don’t panic.
⅔ neutral oil, 4 large eggs, 2 tbsp vodka, 2 tsp kosher salt, 5 cups all-purpose flour
Transfer the dough to a bowl greased with neutral oil. Cover and let rise for 2 hours or until doubled in size.
Punch down the dough and transfer it to a very well-floured surface. Dust the dough with additional flour and roll it out to 1/2-inch thickness. Using a 1-inch doughnut hole cutter, punch out the doughnuts. Transfer them to a baking sheet liberally dusted with flour and cover. Let rise for 45 minutes.
Pour the oil into a large Dutch Oven and place over medium-high heat. Heat the oil to 325°F.** Add 6-8 doughnuts at a time and fry them until golden on both sides. About a minute or two a side.
Transfer the finished sufganiyot to a cooling rack suspended over a baking sheet. Set aside to drain. Repeat with the remaining doughnuts. Let doughnuts cool slightly before creating a hole in the bottom of them using a paring knife in order to add the filling. Set the doughnuts aside.