A slow start to the season - which saw them drop consecutive league games against Real Sociedad and local rivals Atletico Madrid - saw Real coach Carlo Ancelotti come under question.
Much was made of Ancelotti's decision to let Angel Di Maria and Xabi Alonso leave the club but the critics have since been silenced by a scintillating run of form.
In Real's 12 successive triumphs in all competitions, they have scored a stunning 47 goals, highlighting their potency in attack.
And it is not like Real's wins have come against Spanish strugglers - successes against Barcelona, Liverpool (twice) and Basel have come in the hot streak.
Real were not at their best in the final third against Liverpool in the UEFA Champions League on Tuesday, but still dominated in their 1-0 win.
Karim Benzema scored the only goal on that occasion - his fifth in as many games - as Real qualified for the competition's last 16 with two Group B matches to spare.
And playmaker James Rodriguez has urged his team-mates to keep their foot on the pedal as they try to add to their one-point lead atop La Liga.
"I think that we have been on a roll in our last seven or eight games, and we have scored goals," Rodriguez said.
"We just have to keep going in this direction.
"But we are also aware that there's still a lot [of games] to go to the end of the season."
Rodriguez's thoughts were echoed by the red-hot Benzema.
"We are going through a great period at the moment," he said.
"I am really enjoying [it] on the pitch at the moment, just like every player. We are all involved in every play. We defend and we attack together."
With 17 league goals already, Cristiano Ronaldo is comfortably La Liga's top scorer - some eight goals ahead of Barca star Neymar - and after a rare off night in front of goal against Liverpool, he is sure to be fired up.
And that spells bad news for Rayo, who have the fourth-worst defence in the top flight.
Rayo have been inconsistent this season and sit 12th in the table with three wins from their first 10 matches.
Of those three triumphs, two have come on the road - something that may give them encouragement ahead of their daunting trip to the Santiago Bernabeu.
Brazilian forward Leo Baptistao has been in good form, scoring six goals in nine league matches.
But it is at the back where Vallecano are expected to be tested, and history does not make for good reading for fans of the visitors.
Real have won the last 12 league meetings between the two sides, including a 5-0 success at the Bernabeu last term.
