Los Pepineros have benefitted from Omeruo's presence, having kept nine clean sheets with the Nigeria international in the starting line-up.
Omerou recently revealed to Tribalfootball that he hopes Leganes will take up their option to make his loan deal permanent once the season finishes.
One reason why the 25-year-old has enjoyed his time with the Madrid-based team is the presence of former Southampton boss Pellegrino.
He told TribalFootball.com: "Yes. My game has really improved because after each game.
"I have some private time with the manager (Mauricio Pellegrino) and he explains a lot of things to me."
After breaking through with Velez Sarsfield in his native Argentina, Pellegrino made a reputation for himself in Europe as a competent centre-back with Valencia. He would make over 140 appearances for Los Che, including a start in the Champions League final loss to Bayern Munich in 2000/01.
Capped three times by Argentina, Pellegrino also spent half a season with Liverpool towards the end of his career.
With a wealth of experience defending at the top level, Pellegrino has proven to be a valuable source of information for Omeruo."Some mistakes, some corrections about positioning and these have really helped my football. I am happy to be working under him," added the Nigerian.