SECONDARY OBJECTIVES I. To assess the toxicity of CIMAvax combined with nivolumab using the Cancer Therapy Evaluation Program (CTEP) National Cancer Institute (NCI) Common Terminology Criteria for Adverse Events (CTCAE version 4.03). (Phase I) II. Determine the preliminary efficacy of the study combination utilizing immune-related Response Evaluation Criteria in Solid Tumors (irRECIST) guidelines. (Phase I) III. To evaluate progression free survival (PFS) for the combination of CIMAvax and nivolumab in patients with advanced NSCLC. (Phase II) IV. To assess the toxicity of CIMAvax combined with nivolumab using the CTEP NCI Common Terminology Criteria for Adverse Events (CTCAE version 4.03). (Phase II)