A Local Optima Network represents fitness landscape connectivity within the space of local optima as a mathematical graph. In certain other complex networks or graphs there have been recent observations made about inherent self-similarity. An object is said to be self-similar if it shows the same patterns when measured at different scales; another word used to convey self-similarity is fractal. The fractal dimension of an object captures how the detail observed changes with the scale at which it is measured, with a high fractal dimension being associated with complexity. We conduct a detailed study on the fractal nature of the local optima networks of a benchmark combinatorial optimisation problem (NK Landscapes). The results draw connections between fractal characteristics and performance by three prominent metaheuristics: Iterated Local Search, Simulated Annealing, and Tabu Search.