declare @Tmp table(ADate smalldatetime, AIndex int)

insert into @Tmp
select '20150101',0 union
select '20150102',0 union
select '20150103',0 union
select '20150104',0 union
select '20150105',1 union
select '20150106',1 union
select '20150107',1 union
select '20150108',0 union
select '20150109',0 union
select '20150110',0 union
select '20150111',1 union
select '20150112',1

with t1 as
(
 select t.*,
  dateadd(day, -row_number() over (partition by t.AIndex order by t.ADate), t.ADate) as dt
 from @Tmp t
)
select min(t1.ADate), max(t1.ADate), t1.AIndex
from t1
group by t1.dt, t1.AIndex

with t1 as
(
 select t.*,
  dateadd(day, -row_number() over (partition by t.AIndex order by t.ADate), t.ADate) as dt
 from @Tmp t
)
select min(t1.ADate), max(t1.ADate), t1.AIndex
from t1
group by t1.dt, t1.AIndex

;with t1 as
(
 select t.*,
  dateadd(day, -row_number() over (partition by t.AIndex order by t.ADate), t.ADate) as dt
 from @Tmp t
)
select min(t1.ADate), max(t1.ADate), t1.AIndex
from t1
group by t1.dt, t1.AIndex
order by 1