A 4-1 defeat at Sevilla last week knocked Valladolid back down to earth but Pena says the 1-0 victory over title-chasing Barcelona on March 8 has given them the belief they can beat Rayo, who they trail by three points in the Primera Division table.
"That's what football is all about, the Barcelona result allows us to catch up with a direct rival, get out of the relegation zone and get into a strong position," Pena told reporters.
"We know this week's game is very important, we have a good advantage over them in the head-to-head rankings, so if we beat them we'll go level on points on them and go above them in the table."
Rayo head to Valladolid in search of a fourth consecutive league victory that would mean another huge step towards securing survival.
Valladolid beat Rayo 3-0 earlier in the season but defender Anaitz Arbilla believes the Madrid side are better prepared for this game given the run of form they are in.
"Going into this game in a negative state is not the same as the situation we are in, where everything is positive and the team are happy and comfortable," he told reporters.
"We've gone through difficult moments but we've regrouped and that's been important."
On facing Juan Ignacio Martinez's side, he said: "They do not concede many goals. We have to keep playing our way and not let them play, because they also know how to play good football if you let them."