select last_day(add_months(sysdate, -1))+1+rownum-1 
from dual 
connect by 
rownum < last_day(sysdate)-(last_day(add_months(sysdate, -1))+1)+1

SQL> alter session set nls_date_format = 'dd.mm.yyyy';

Session altered.

SQL> select trunc(sysdate, 'mm') + level - 1 datum
  2  from dual
  3  connect by level <= to_number(to_char(last_day(sysdate), 'dd'));

DATUM
----------
01.01.2015
02.01.2015
03.01.2015
04.01.2015
05.01.2015
<snip>
29.01.2015
30.01.2015
31.01.2015

31 rows selected.

SQL>

select datum 
from (select trunc(sysdate, 'mm') + level - 1 datum
      from dual
      connect by level <= to_number(to_char(last_day(sysdate), 'dd'))
     );