We had a similar experience at my house one time, except it was in a bowl and all we saw was blood in the yoke. It had not been quite as developed as the one in your egg.
Those are supposed to be pulled before they make it out of the packaging plant. They shine a light through the egg and detect if there is an embryo inside. The process is called "candling." Of course it is imperfect especially if the egg is very recently fertilized. I've gotten one or two with a red spot in the yolk over the years, but nothing close to a developed chick.