Our version of this Southern favorite uses egg whites instead of whole eggs, resulting in a lighter, crispier coating. A cast-iron skillet works best, but any heavy skillet will do.
In a large shallow bowl, whisk together egg whites and 2 tablespoons cold water. Add okra, and toss to coat completely.
Combine cornmeal, flour, cayenne, 1 1/2 teaspoons salt, and 1/4 teaspoon ground pepper; divide between two shallow bowls. Lift half the okra from egg mixture, letting excess drain off; add to cornmeal mixture in one bowl, and toss to coat evenly. Repeat with remaining okra, adding it to second bowl.
In a deep 12-inch cast-iron skillet, heat oil to 375 degrees on a deep-fry thermometer. Carefully place half the okra in oil. Gently stir pieces (without disturbing coating). Cook until golden brown, 3 to 6 minutes; adjust heat as needed to keep oil temperature between 300 degrees and 350 degrees. With a slotted spoon, transfer okra to a paper-towel-lined baking sheet to drain.
Return oil to 375 degrees; repeat with remaining okra. Season with salt, and serve with hot sauce, if desired.
Look for cornmeal in the baking section of your supermarket. Be sure not to buy a mix, which may contain flour and other ingredients.