How do I create this shape?

how to: yin yang geometric construction | Google 

The most precise way is to use a series of geometric sphere shapes, de-constructing and re-constructing segments of those paths to build the finished product. Draw a 6" diameter circle. Make a pair of 3" diameter circles and align them to the center left and center right sides of the larger circle. You'll have all the paths in place you need to build the ying-yang shapes. Just break apart the segments of the circles you need to build the two ying yang shapes.

There are many ways to do this, but one way you might want to try is the using the Width Tool (for a variable width stroke). Here's a quick video explaining the tool. https://www.youtube.com/watch?v=2yajWpxHA9A 

Have you tried using the Pen Tool?