Valladolid, who are 14th and without a home league win since October, were awarded a penalty in the 87th minute but Rayo's Macedonian goalkeeper Stole Dimitrievski guessed the right way to palm midfielder Michel's spot-kick away.
Rayo, who are second-bottom still had to withstand a series of hurried late attacks from the hosts but held on to claim a second consecutive victory for the first time this season.
The win took them level on 16 points with the two teams above them, Athletic Bilbao and Villarreal, who are both in action later this weekend.
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(Reporting by Richard Martin; Editing by Ken Ferris)
