Valdes parried Roberto Trashorras' spot-kick 10 minutes before half-time when the hosts were leading just 1-0 thanks to Pedro Rodriguez's opener.
Pedro went onto complete a hat-trick in the second-half with Cesc Fabregas adding a late fourth to move Barca back to the top of the table and maintain their 100 percent start to the league season.
"He is in exceptional form, he is one of the three best keepers in Spain and we can only enjoy how he is playing," Martino told a press conference.
"Although you don't always hope to have to enjoy watching your goalkeeper so much, he made three or four decisive saves."
The game was also remarkable for the fact that despite losing heavily for the fourth successive game, Rayo amazingly had more possession than Barcelona.
It was the first time in over five years and 317 matches that Barca had enjoyed less of the ball than their opponents.
However, Martino put that statistic down to Rayo's pressing rather than his insistence that his side play a more direct style.
"Sometimes it is difficult to play out from our goalkeeper and we will look for longer passes. In games like this with such intense pressure it is necessary to win the second balls.
"I liked that in the second-half, apart from the last move of the game, we weren't anxious in defence like we were against Ajax (in the Champions League in mid-week).
"The team has a great capacity to score goals and if we keep a clean sheet then we always have a chance."
And Valdes himself believes too much is being made of Barca's new direct style.
"There is too much talk about this topic. We don't have to be fixated by it," he said.
"We try to be faithful to our style, but we have a new coach and there might be a new idea."
Understandably the 31-year-old was happier to reflect on his own form, including a 10th career penalty save in La Liga.
"Fortunately with the penalty the ball went straight down the middle and I had stayed on my feet. I am satisfied with how everything is going, but the most important thing
is that we are winning games. It is important to start like this and we need to continue this dynamic.