In this research, we first calculate risk-neutral moments including volatility, skewness and kurtosis using daily close price of TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) futures and options risk-neutral moments including volatility, skewness and kurtosis. Next, we employ multivariate ARIMA model to predict the moment change on the next day, and examine its predictability. Lastly, we explore the moment trading strategies using the predicted moments as indicators to investigate if these strategies can earn significantly positive returns considering transaction costs. We find that the multivariate ARIMA model is able to predict the change of risk-neutral moments. Considering transaction costs, the trading profit is significant when we use the predicted changes of risk-neutral moments as the trading rules.