We report the first observation of a striking history dependence of the structure function of the vortex matter in the peak effect regime in a Nb single crystal by using small angle neutron scattering combined with {it in situ} magnetic susceptibility measurements. Metastable phases of vortex matter, supercooled vortex liquid and superheated vortex solid, have been identified. We interpret our results as direct structural evidence for a first-order solid-liquid transition at the peak effect.
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