For more information regarding Bristol-Myers Squibb Clinical Trial participation, please visit www.BMSStudyConnect.com Inclusion Criteria: - Non small cell lung cancer (Squamous or non-squamous) - At least one prior anti-cancer therapy that did not work - ECOG Performance Scale 0-1 Exclusion Criteria: - Cancer that has spread to the brain or leptomeninges unless there is no evidence of progression by MRI for 8 weeks after treatment is complete and within 28 days before first dose of study drug - Active, known or suspected autoimmune disease or infection - Prior immuno-oncology therapy - Corticosteroids within 2 weeks of study drug administration Other protocol defined inclusion/exclusion criteria could apply