The Andalusians have taken 16 from the last 18 points available to move level on points with third-placed Valencia.
Pellegrini old the club's website: "We're in a good position and in good form with a team who can go forward and who have responded well to everything regardless of who plays.
"We now have two home games, but that doesn't mean we'll earn six points. We need to be conscious of how we're playing, not where we're playing, for the entire 90 minutes, and give a great performance.
"It's a very important game. Valencia and Levante are also playing each other, and it's important that we don't let the three points get away.
"We'll be sure to maintain our concentration on the pitch so we don't get any surprises. Regardless of the opponents, though, I believe Malaga are in good enough form to come away with three points."