We report the experimental evidence of nonlinear optical response in DNA lyotropic nematic liquid crystals. Pump-probe experiments indicate that the non-linearity is remarkably large. Quantitative assessment of the non-linear optical coefficient by transient optical grating demonstrates that the response is of the same order of the well-known Giant Optical Nonlinearity (GON) of thermotropic nematics. These results represent a further incentive to the current investigation of potential applications of DNA in biophotonics.