Then all points are negative. Consider the point $p=(0,0,0)\in S$, whose tangent plane is the plane $z=0$. Let $c>0$. Then the intersection of $S$ with planes parallel to $T_pS$ is $$S\cap \{z=c\}=\{(x,y,c): x^2-y^2=c\}=\{(x,y,c):\left(\frac{x}{\sqrt{c}}\right)^2-\left(\frac{y}{\sqrt{c}}\right)^2=1\},$$
that is, an ellipse, for each height $c>0$. Similarly, for $c<0$.
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