Yellow chilli peppers

Hi, hoping there are some chili pepper experts out there. I have a pot of cayenne peppers which are a beautiful bright yellow, however I thought they were supposed to be red. Do chili peppers go from green to yellow to red as they ripen, or will these stay yellow and should I just pick them?

we are growing a yellow chilli tastes of lemon then very hot [seed given to us by nephew] grown alongside red chilli they do seem very hot compared to red cayenne.

As MumofStig says, most likely Lemon Aji. I grew three plants last year (in poly tunnel) and picked over 2kg of chillies from them. Froze some, dried some and made a lot of chilli hot sauce, gave away a load too. Am growing just one this year!  My Cheyennes are doing well and have already got 4 jars of sweet pickled ones. For the Cayenne - variety or just not yet ripe?