  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.
