The Argentine was linked with a move away from the Spanish capital in the summer, but has been a fixture in the team in the early part of the season.
"I have Ancelotti's confidence. I had a really good pre-season and that made me feel very good. I'm doing what I've always done, but things are going very well for me at the moment," he told reporters at a press conference.
Di Maria has scored twice in 10 games for the Spanish outfit this season.