To prep the corn: Fold the husk of each corn back leaf by leaf and tie them with kitchen twine. Lightly brush corn on the cub with oil.
Heat a grill pan or an outdoor grill. Grill corn, turning occasionally until it is browned in spots. Keep an eye on it as this happens rather quickly.
To make the sauce: Mix together mayonnaise, sour cream, chile powder, and lime juice in a bowl.
Brush each grilled corn the mayo mixture and sprinkle with cotija cheese. Garnish with cilantro and serve.
