Yes, he's doing great so far.
I was skeptical about Alaves before the season because they've basically changed their whole team and signed a lot of players on loan deals so I thought they'd need around half of the season to gel together. But they've found real gems in players like Theo Hernandez and Marcos Llorente and other solid players like Camarasa, Deyverson, Feddal,...
And I also had my doubts about Pellegrino because he wasn't really impressive as a coach at Valencia. But based on what other coaches since Emery (with exception of Valverde who took over after Pellegrino) have done for them that's probably not entirely his fault.
I wonder what they'll do in summer if they qualify for Europa league. They'll most likely again make a lot of changes in their team but they could get better players on loan (and maybe sign some) if they'll play in Europe. I forgot about the rules. Are they already qualified for EL even if they don't win CDR final or will that spot go to 7th placed team in La Liga?