Goals from Victor Perez, both from the penalty spot, secured a 2-0 win.
It means they join Rayo Vallecano and Barcelona on six points at the top of La Liga.
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The reputation of the Premier League means it is the most popular and one of the most watched leagues in the world.
Five English clubs will compete in the last sixteen of the Champions League for the first time ever as Liverpool, Manchester United, Manchester City, Chelsea and Tottenham face some difficult away matches.