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I played an "Archangel Avacyn" in AI's turn, and in response it played an Ultimate Price on it and detroyed it. I think that shouldn't be legal, because I guess that to target Avacyn it should've entered the battlefield first, and because of that it should have indestructible, but maybe I'm wrong
Can someone explain to me if I'm right or not?
Thanks

Avacyn does not have indestructible per se.

when it does enter the battlefield, its ETB effect which does give all your creatures indestructible goes on the stack.

now while the Effect is on the Stack and not resolved, Avacyn doesn't have indestructible yet.

in that tiny window until the Effect is resolved, the Enemy can use Ultimate Price to destory her.