Oh my god. My theme wasn’t closing the html code on the footer.php
Found it with debug mode on in de WP-SuperCache:

It was yelling “No closing html tag. Not caching.supercache No closing html tag. Not caching.”. I just added code on the footer of my theme and works like a thunder:

Server Software: nginx/0.7.63
Server Hostname: blog.contactosmallorca.es
Server Port: 80

Document Path: /
Document Length: 30503 bytes

Concurrency Level: 1
Time taken for tests: 0.118 seconds
Complete requests: 1000
Failed requests: 0
Write errors: 0
Total transferred: 30739000 bytes
HTML transferred: 30503000 bytes
Requests per second: 8507.02 [#/sec] (mean)
Time per request: 0.118 [ms] (mean)
Time per request: 0.118 [ms] (mean, across all concurrent requests)
Transfer rate: 255368.39 [Kbytes/sec] received

Connection Times (ms)
min mean[+/-sd] median max
Connect: 0 0 0.0 0 0
Processing: 0 0 0.0 0 0
Waiting: 0 0 0.0 0 0
Total: 0 0 0.0 0 0