Alves made his 15th penalty save against Sevilla FC on 25 January 2015, which took his record to 42.85% of all attempts faced. Widely regarded as a specialist in the matter, he once stated that a penalty is "a psychological battle between the goalkeeper and the taker".
On 9 May 2015, after denying Real Madrid's Cristiano Ronaldo, Alves became the goalkeeper with the most penalty saves in the history of the Spanish top flight with 16 out of 37, equalling Andoni Zubizarreta who saved 16 from 102. He surpassed the latter on 25 September 2016 during a 2–1 away win over CD Leganés, following it up with two saves the next weekend – including a spectacular block from an Antoine Griezmann shot – albeit in a 0–2 home loss to Atlético Madrid; upon his departure from Valencia in 2017, he had saved 23 spot kicks.