SCLC provides an opportune setting to evaluate the potential importance of variability in PD-L1 expression and its influence on optimizing timing and efficacy of checkpoint inhibition. All extensive stage SCLC patients are treated with chemotherapy and recent data suggests added benefit to consolidation thoracic radiation. A prior study of patients with known PD-L1 expression showed a 35% response rate. That study used archival specimens and found a 29% PD-L1 positivity rate (at 1% level) suggesting that the expression level and prevalence could be higher (and response rate/outcome therefore potentially better) in patients who have previously had chemotherapy or radiation. The proposed study seeks to evaluate pembrolizumab therapy initiated at different times during the course of SCLC treatment: a) up front, in conjunction with initiation of chemotherapy, b) starting after one cycle of chemotherapy, c) starting after completion of 1st line chemotherapy (4-6 cycles), d) starting after completion of consolidation thoracic radiation therapy and/or prophylactic cranial irradiation (PCI). Treatment with pembrolizumab will be preceded by biopsy for evaluation of PD-L1 expression with correlative evaluation of changes in PD-L1 expression (relative to diagnostic biopsy) and changes in other tissue- and blood-based biomarkers and immune markers.