How should the contour lines of a convex function look?

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My book asks me to sketch the contour lines of a convex function and discuss why it looks like this.

I've been thinking about this for a while. My guess is that each contour would have to be convex too, since if it's not, then I found a place of intersection with the shape where a line between two points of itself don't lie in the shape.

Is there anything more to consider?