Heat oil in a large skillet over low heat. Add leeks and cook, stirring occasionally, until tender and golden, 20 to 25 minutes. Add wine, stirring to scrape up any browned bits. Remove from heat and let cool for 5 minutes.
Meanwhile, combine yogurt, mayonnaise, scallions, chives, lemon juice, cayenne, salt and pepper. Stir in the cooled leeks.
Refrigerate for up to 2 days.