Preheat a grill or grill pan over medium-high heat until hot, about 15 minutes.
Mix the mayonnaise, yogurt, jalapenos and lime zest and juice in a small bowl.
Rub the corn with the oil, sprinkle with salt and pepper and grill until grill marks appear on all sides, about 12 minutes. Serve warm, drizzled with the yogurt sauce and sprinkled with lime zest.
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