Oils used in frying are chosen not because they're healthier. They're chosen because they don't break down at low temperatures. This is called the smoke point; healthier oils and oils that typically have strong flavors like extra virgin olive oil or sesame oil have low smoke points. When you heat them up to the temperatures required for deep frying; EVOO has a smoke point between 350° to 400°F which is roughly the same temperature at which you deep fry things at. Peanut oil, an oil commonly used to deep fry has a smoke point of 450°F. Using the oil lowers the smoke point as it gets broken down and contaminants build up in the oil. As the oil breaks down, it creates a burnt smell and reacts with oxygen and creates harmful compounds. This is why you can't deep fry with "healthy" oil; most "healthy" oils have very low smoke points.